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Ok, lets see if i can finish this before midnight.

I'm afraid i'm not allowed to post links yet, so you will have to look up the verses and paragraphs i cite yourself. For Purgatory in the Catechism go to paragraphs 1030, 1031 and 1032.
You ask a lot of good questions. First, on the pain of purgatory; The pain is not to be desired for the sake of the pain, but rather for the sake of what it accomplishes in us. Thus the woman in labor does not rejoice in the agony of it, but rather in the life soon to enter the world. Her pain is not a pain of despair, but rather a pain of hope because it has meaning. So to should we rejoice in our pain because it results in spiritual growth. (Romans 5:3-10, 1 Peter 4:13) However, pain remains painful, and thus worthy to be avoided. We ought to seek out the pain of purgation, not for the sake of the pain, but for the sake of the cleansing(purgation). If this same cleansing may be accomplished through another means, I would consider that alternate means preferable.
(CCC 307, 1521)
It is natural for us to fear suffering, but St. Paul tells us to do the unnatural. He says to rejoice in it for the sake of what its accomplishing. I must confess, i have some timidity myself, but that just reveals a need of further formation and greater faith. Those who say it is not painful are discounting St. Paul's words in 1 Corinthians "If any man's work burn, he shall suffer loss: but he himself shall be saved, yet so as by fire." (3:11-15) It is to the shame of every Catholic that so many of us do not understand or accept the teachings of the Church.
When compared to eternity, yes, purgatory is but a "brief blip." I'm not sure how assurance of salvation connects to that, but i will strive to answer your question. No, i am not absolutely certain that i will enter heaven. I know that if i have chosen for God and persevere unto the end that i will be saved, but i am still very young in my faith. I may yet fall away. It is even possible that at the core of my being I prefer my sin to God, this would also disqualify me. But, i do not live in constant dread. I have faith, i know that God wants me in heaven. At the same time, it is good to keep Philippians 2:12 in mind.
The issue of deathbed conversions has to do with the nature of temporal punishment which is a lengthy discussion. So i am going to simplify. The explanation given by thispoorman is a common understanding, but it fails to recognize the substantive level of temporal punishment. (see CCC 1472, 1473) The analogy of the broken window is a good one but it has to be explained. When we sin, break the window, God forgives us, He does not have us thrown in prison. However, sin has a second consequence, in addition to meriting eternal damnation it also damages our relationship to God, the window is still broken. Temporal punishment, our allowance, serves to repair that relationship.
However, there is a second half to this analogy. Our allowance will never be able to pay off that window, it simply costs too much. Thankfully, in Christ, we have big brother with a well paying job who says, "That's ok, i'll make up the difference." The "allowance" we contribute is in fact Grace, which comes from God (CCC 1996). The "difference" which Christ makes up flows forth from the Cross. (CCC 2008) Thus, neither aspect originates in us. I recommend reading this entire section from the Catechism, CCC 1987 through 2011.
We come from a very wealthy family, our Father and big brother can repair that window as fast as we can break it, but it will not be eternally repaired until we stop playing with that baseball. John Wayne probably did not go straight to Heaven due to this dualism of purgatory. On the one side his relationship to God would not have needed to be repaired as he had just received the sacraments, however, he would still need to let go if his concupiscence. That is, his lasting desire for sin. He can't enter heaven until he stops playing with the baseball and breaking windows.
To answer your last question, yes, Protestants go to heaven through Purgatory as well. And, No, the "length" of purgatory is dependent on the state of the person's soul, not their denomination.
(1:05 am, I guess that's not too bad.)