I love the Tampax Pearl tampons. The applicator slides more easily for me, and there's a part of the cap that I can grasp with my fingers for more control for when I've pushed the tampon in, and then slide it out.

It can get difficult to push a new tampon in if you've taken one out too soon; the blood acts as a lubricant, so if you find you can't get one in, wait a little while for the blood to flow.

And Roman is right...you shouldn't feel it if it's in far enough; you might feel it a tiny bit if the string gets tugged in your underwear, but it shouldn't hurt.