I've been bitten and stung on the testicles by a pair of yellow jackets on one occasion. Other than that, I don't really find them to be real painful. More annoying as the stinger will become lodged in your skin and cause it to swell. Though, even bites or yellow jacket stings will cause a bit of swelling.

Getting one caught in your motorcycle helmet whilst driving is truly frustrating, as you can't simply swat at the thing while on the road and such. You have to pull over, all the while as a bee is constantly biting and stinging the smurf out of your head/face.