Problem with getting shot in a short appendage (like a finger) is that there is not enough area for the blunt trauma of the impact to cause shock and the accompanying numbness. Thusly, it hurts like a SOB.
I saw a guy cut off three fingers with a chain saw once (they were able to reattach them) and he squealed like a stuck pig. Conversely, I've sat with a guy who's femur had broken and was sticking out his leg and had to distract his attention from his wound to keep him from going into shock. He knew he was injured, but he really couldn't tell how bad it was.
That's some funky stuff to sit beside a guy and talk to him calmly while 6" of the biggest bone in his body is poking out of his leg and trousers. Of course, the guy who shows up to help you running around screaming sort of aggravates the whole "shock" thingy..