Many people who have had nothing but problems from gun/stud piercings have been pleasantly surprised when they got a piercing done properly with a needle by a professional piercer. If you are highly sensitive to nickel, you can be pierced with titanium jewelry, which is virtually nickel free.
I would suggest that you try this, but on your ears first. Get the piercings and see how it goes. There is a very good chance that you will find that you can have piercings after all. Then you can move on to other areas of the body, if you decide to do so.
Does a professional piercing with high quality jewelry cost more than a mall store gun piercing special? Sure it does - and it's worth every penny if you really want to be able to have piercings without all the problems.