If I were you, I'd go with threading. It hurts, but it doesn't hurt THAT bad (maybe 1/2 of cigarette-burn-level hurt), and the pain is pretty much gone instantaneously, minus a bit of a dull throb afterward. Also, it's chemical-free.
Threading lasts longer than waxing, too, because it removes the hairs all the way down at follicle level. When I get my brows threaded, it lasts a whole month. (Dunno if boy eyebrows grow back faster.)
Threading hurts like a bitch but it can look more natural. I find waxing hurts less. If you want a more natural look, only have the middle of your brow waxed and avoid waxing the tops. Trimming also works wonders.