Never been shot, but a couple of quick stories from some vets I had the pleasure of knowing:
Had an uncle that got shot up with a machine gun in Vietnam. All the medics and doctors thought he would die, but he didn't. He did end up having a good portion of intestines, his spleen, part of his liver, and a kidney removed. All of that gave him health problems for the rest of his life. He remembered being shot, but couldn't remember what it felt like. I always thought that was kind of weird. I guess the brain does some pretty weird things in those kinds of situations. Sadly, he ended up passing away a few years ago.
I knew another VN vet that I worked alongside when I was in construction. He was a Huey pilot. He got shot on three separate occasions through the same leg with 7.62x39. Once through the meat of the calf, once through the meat of the thigh, and the last one, which put him out of combat, was through the back of the knee, blowing out his patella through the front. He said all of them felt like a hard "thump" followed by an intense burning sensation, but he said that none of them were debilitating pain except the one through his knee. I think it must bring a whole other level of pain when bone is struck, especially if it's shattered. Just my guess though, I've never been shot.
Jason