The bottom line
The only things that can be said in general for pain devices: they’re kind of exciting (technology! gizmos!) and they can approach pain from angles that pills don’t.
Some interesting device are only available at your doctor or PT’s office (such as cold laser therapy) whereas others are available for you to buy online (such as TENS units). In general, there’s more promise than solid evidence for devices, but that doesn’t mean that they don’t help. It does mean, though, that you shouldn’t waste money on too many expensive devices without trying cheaper options first.