If you get stung
Do not panic! Jellyfish stings are very rarely deadly. Okay, now that the not-panicking is out of the way, remove any tentacles that are still on the skin. Do not move much as moving can cause more venom to be released. Use tweezers, a knife, clean sticks or whatever is on hand (such as the edge of an ID or credit card) to remove the tentacles. You can also rinse it with seawater (NOT freshwater) to help get the tentacles off and reduce discomfort. If you happen to have some vinegar with you can pour it on the affected area, it deactivates the stinging cells of most jellyfish. The sting is alkaline so an acid like vinegar neutralizes it.
To relieve pain, you can immerse the stung skin in hot water as heat inactivates toxins. If pain persists, take a painkiller. If there are signs of an allergic reaction such as hives or trouble breathing, then call emergency health services.
Whatever you do, do NOT add fresh water, pee, meat tenderizer, or alcohol on the sting. When there are still pieces of tentacles, these actions either cause the nematocysts to fire more causing more pain, or at best, do nothing.
A Hawaii-based company has recently developed treatments to provide pain relief and even prevention for jellyfish stings. The main researcher involved, Angel Yanagihara, helped long-distance swimmer Diana Nyad to successfully swim from Havana to Key West in 2013. She had previously been prevented from this goal by the dangerous box jellyfish.
There is no reason to be more afraid of most jellyfish then you would be of a wasp or a bee. With the proper precautions, the risks and pain can be minimized and you can enjoy a relaxing vacation.