I starting really noticing how much I was thinning when I graduated college. So I got a consultation at 24 and they only offered the FUT process at that time. I wear my hair fairly close cropped so I didn't want a scar, that's at least what I kept telling myself. I got fed up when I hit 30 and decided to get another consultation done. They went over the FUE procedure that had just come to AZ a couple years ago and it sounded perfect. I wish I had started the procedure when I first noticed the thinning at 24, but live and learn, don't live and regret. Now, I still had crazy anxiety (not knowing what I was really getting into), but it was completely unwarranted, the only "pain" I felt was from the local anesthesia, and that was just a minor annoyance. After you are numb, you really do not feel any pain at all. I was slightly sore the first night when laying on my pillow, but I'm only on Day 2 and already feel so much better.
If you are on the fence with the procedure, don't wait, don't regret. Get your hair and your confidence back.