Boing Boing linked to an interesting account by George Orwell on what it was like being shot in the throat. He was involved in the Spanish civil when he got nailed by a sniper.
The whole essay makes for interesting reading.
He describes the feeling of being hit:
Roughly speaking it was the sensation of being at the center of an explosion. There seemed to be a loud bang and a blinding flash of light all around me, and I felt a tremendous shock – no pain, only a violent shock, such as you get from an electric terminal; with it a sense of utter weakness, a feeling of being stricken and shriveled up to nothing. The sandbags in front of me receded into immense distance. I fancy you would feel much the same if you were struck by lightning. I knew immediately that I was hit, but because of the seeming bang and flash I thought it was a rifle nearby that had gone off accidentally and shot me. All this happened in a space of time much less than a second. The next moment my knees crumpled up and I was falling, my head hitting the ground with a violent bang which, to my relief, did not hurt. I had a numb, dazed feeling, a consciousness of being very badly hurt, but no pain in the ordinary sense.
Orwell was conscious through the whole thing and at one point he was convinced that he was dying:
There must have been about two minutes during which I assumed I was killed. And that too was interesting — I mean it is interesting to know what your thoughts would be at such a time. My first thought, conventionally enough, was for my wife. My second was violent resentment at having to leave this world which, when all is said and done, suits me so well. I had time to feel this very vividly. The stupid mischance infuriated me. The meaninglessness of it!