A few years ago I was talking with a client who told me something he didn't like about the agile approach we were using: "it's doesn't feel right to have these difficulties this early in the project". Contrary to his reaction, in my mind this early pain is one of the great benefits of an agile or indeed any iterative development process.
I have many complaints about the waterfall process, but probably my greatest problem with it is how it tends to defer discovery of problems till late in the project, at which point there's little time or energy to deal with them effectively. Iterative cycles try to flush out as many problems as possible as early as possible. This gives you more time to cope, or at least raises the problems early enough to cancel before investing too much money and effort in a problematic project.
A useful exercise is to reflect on past projects and think about where problems cropped up late. Now ask yourself how you could make those problems crop up earlier. The more pain you get earlier, the better.