I can't tell for myself, fortunately... but I can pretty much get the idea from an episode that occured a few years ago: we used to have a person from a private security company coming in the evenings - he usually stayed overnight - to guard our house and of course, he was armed (he had a S&W .38 revolver). But he wasn't too careful or respecful of firearms because he often would draw his 6-shot revolver and play with it like he was a cowboy or something or field strip it while on duty... anyway, we didn't find out about that until what I'm about to tell next, happened...
So, I think it was Christmas Eve of 2001 (IIRC) when I was with my family in the living room and heard a gunshot. The guy then started to scream for help. He had been doing the cowboy thing and he accidentally shot himself in the shoulder. My father had to empty the gun himself and take him to a hospital. Of course we complained about this to his employer and they sent us another person but I saw him a few weeks after when he came back with his arm in a sling and all and I asked him what did it feel to get shot and surprisingly, he said he didn't feel a thing, only the kick of the bullet hitting his shoulder and then, a bit of numbness and an unsual sense of warmth in the area around the wound. He didn't bleed, I saw no blood whatsoever because the wound pretty much closed itself after the .38 round penetrated. The pain came afterwards when his body 'realised' it had sustained damage but I think because of the shock of the moment, he didn't feel much at first.
I wouldn't like to try that for myself, that's for sure.