It does hurt, if you get shot on bare flesh and/or at close range. I had 2 hits that qualify as the 'worst pain'. One hit was unintentional; I got shot in the cup of my ear (had to wash the paint out of my ear canal, that was fun).
The other hit I deserved; I chose not to surrender when given the opportunity, so I got shot just below my armpit at a range of less than 5 feet by a gun that was shooting at about 350 feet per second. Got about a 3 inch long bruise from that one.