We wrote an article on using extinction to stop unwanted behaviors, on how it takes more skill, planning, and patience than punishment but is a much better, more humane method to get what you want.
This is not to say that it’s a bed of roses for the organism being subjected to extinction though. Common responses include frustration, anger, aggression, and anxiety. We take our cues on how to behave from the reinforcements we receive, and when these reinforcements suddenly disappear so that there are no cues whatsoever on how to proceed, the predictable outcome is psychological and emotional pain.
But not all pain is created equal. The quality of the psychological and emotional pain engendered by the process of extinction is much different from that engendered by punishment. With punishment the pain comes from a discernible source, from the authority figure who is supposed to represent nurturing and support, the authority figure who in the case of a primary caregiver represents the blueprint on which all subsequent relationships are based. With extinction the pain is more ephemeral. This pain is owned by the organism, as it were, who must bring creativity to bear in the form of a slew of new behaviors in order to once again receive the desired reinforcements.
Working through a difficult problem almost always engenders frustration and anxiety but solving that problem almost always leads to feelings of elation and a sense of accomplishment, and when you think about it being subjected to extinction is working through a difficult problem. There might be a rocky period in there but when the organism finds a new response that gets the job done frustration and anxiety dissipate, and at least in the case of people, dogs, cats, and other intelligent mammalian life forms, these negative feelings are replaced by feelings of elation and a sense of accomplishment.