I always asked them to talk to me to help me stay in the present. That varied with the dr. Then I saw this amazing dr. who was able to show me muscles to relax and suddenly it was easy to handle (and I have a sexual abuse history so I was tightening up and making it harder for her to do the exam).

Also ask them to use the smallest possible speculum, pediatric if they can.

I wound up having a lot of exams in the last couple of years before I had a hysterectomy and actually got comfortable with them (as long as I had my preferred dr and her magic muscle relaxation trick). I got to the point that it really didn't bother me too much.