No, it doesn't really sting. The powder they use is very "user friendly" But you can get masks and goggles so you don't breathe the powder in or get it in your eyeballs.
I just went to a festival similar to this on Saturday. It was absolutely amazing. Everything was covered in colourful powder and it was just beautiful. Everyone should experience this at least once in their life.
I love Holi!! We also drink nearly copious amounts of "Bhang" which is essentially made from Cannabis mixed into something called "Thandai". Such a great way to celebrate spring! :D
It's so awesome :D