Hi! I used to work in Sephora in NYC. I was only there for a year, and the pay was OK, but not great because I was just starting out (I moved to MAC soon after). Training is not enough, you should have a good knowlege of most of the products they sell, a passion for make-up, and a good skill level. They get so many applicants that you really have to put yourself apart from anyone else. Bring a portfolio! I liked working there because you got so much exposure to different MU brands and you weren't restricted to using one brand.
Sephora also offers internships as well, which are a great way to gain work experience in the industry.