The Hindu festival of Thaipusam is about faith, endurance and penance.
Thaipusam is a time for Hindus of all castes and cultures to say thank you and show their appreciation to one of their Gods, Lord Murugan, a son of Shiva.

Hindus believe that each soul has the spark of the divine within, so in actual fact in one way it's a journey outside but it's also a journey inside...so you're in immediate contact with the divine for maybe a short blissful period while you're actually carrying this kavadi.
"It's a path towards the ultimate goal of Hinduism which is realisation... While you're in this state of trance you're in a state of divine communion and that imposes this feeling of ecstasy upon you which makes you aware of your ultimate objective.
"And of course when you're removed from the trance it also makes you aware of how far you are from your ultimate objective."
(Carl Belle, taken from BBC)

This gallery shows the sequence of a devotee being pierced with a little spear through their tongue or through the cheeks. The spear pierced through his tongue or cheeks reminds him constantly of Lord Murugan. It also prevents him from speaking and gives great power of endurance...
that the pilgrim has temporarily renounced the gift of speech so that he or she may concentrate more fully upon the deity,
that the devotee has passed wholly under the protection of the deity who will not allow him/her to shed blood or suffer pain,
the transience of the physical body in contrast with the enduring power of truth.

The endurance of what you are doing is enough in itself, and the fact that you are not going to suffer pain is proof of his presence - or one of the proofs of his presence.

The last pic is an animation of the entire sequence of the piercing.

The fundamental form of devotion is to carry a pot of milk or "paal kudam" on their heads and walk bare-footed for miles as a show of devotion and love to the god without any form of piercing.