I once put a drill bit right through the arch of my foot..(don't ask...) and there was no pain at all!
the doc at the hospital hurt me as he put a dressing right through the wound, even though I asked for a jab and he refused. the pain didn't really set in until I got home, and then it felt like my foot was going to explode!
Ok, not in major league injuries, but I often wonder like you, missjef, what a loss of limb would feel like. I once knew a man who had lost several fingers using a jigsaw, one of the industrial types. He said he felt nothing at the time!