I have a TV u/s every week to check my cervix (history of PTL). As PPs said, it's no big deal -- just a skinny wand covered in a condom (or plastic). It's not inserted deep. Given the choice, I'd prefer an over-the-belly u/s but TV u/s aren't uncomfortable or painful. It takes just a minute or two to measure the cervix. Unfortunately I usually don't get to see the baby during these u/s.
DH has been in the room with me when I've had them done and it's not an issue at all.
ETA: I had this done this morning and here is my whole appointment. Go in the room. Am told to undress completely from the waist down. Am given a sheet to cover up. When the doctor comes in, I put my feet in the stirrups, and she starts the TV u/s. I can see the screen and she points out where my cervix starts and stops, and then uses a tool on the computer to measure the length. That's it. Today I even got a picture of my long and closed cervix. It's really a pretty boring process.