I once cut my leg (fell from a bike on a metal something) to the bone (I could see it and it was a long cut) and interestingly I felt no pain. I mean, I usually feel pain, but I don't know.. maybe it was a nervous shock or something, but it just felt funny. Even when I got to hospital to sew it didn't hurt.
But if it was shock then it was unconscious or something, because I was very calm with no panic.
Oh and more on pain.. I practice Taekwon-Do and we were training ourselves releasing from grabbing. So there is a movement when I grab someone by clothes and he gets free by point-pressing on my thumbs, i.e., the opponent releases them because of pain, but no matter who tried to do that on me - nothing worked. I felt only pressure and no pain. Even our senior black belt instructor and heavy weight kick boxing champion couldn't do anything.
A pity though. that grab is quite useless in real combat, so I don't use it.
Oh and after years of practice we've (old students) have noticed that we no longer feel pain as the rest, especially the new students. It's just something we've become to ignore unconsciously, or maybe our muscular structure is more sturdy, or maybe both.