Speaking from a male point of view, I have more fear of the digital rectal exam associated with the prostate than the "turn your head and cough" hernia exam. But I will say that the hernia exam can be pretty uncomfortable, too. That area above the testicles is not a place most people need or want to touch, so when a doctor presses his fingers up there, it feels really odd. I've also experienced a pain similar to a light blow to the testicles themselves.
I'm glad there is a simple test for doctors to determine if I have a hernia, but it does feel a little more invasive than a person might expect. It reminds me of the muscle pain you might experience if you jump from a high step and don't land exactly right.