Man, I think a lot of you are confused on what hitting a blood vessel and a nerve do.
Nerve: Your muscle involuntarily JUMPS like it was hit with 120 volts, scaring the hell out of you and possibly causing you to go light headed if you've never had this happen before. You do NOT forget what hitting a nerve feels like, I promise. The top side of quads are notorious for this as well as parts of the dorsal glutes. Blood may or may not happen upon needle removal, but your leg might "tingle" for awhile as the nerve endings are really mad at you. You will be apprehensive next time you go to pin that spot.
Vessel: You don't normally feel anything different unless you like to "lube" your pin by squeezing a few drops out through the needle prior to insertion. If you do this, you may get a metallic taste in your mouth and an upset stomach. I've only had this happen a handful of times as I don't normally do the "lube" trick, so the odds of getting oil into a vessel are pretty low. Once you pull the pin out, you either get a stream of blood, that I call a "squirter" - I've painted the walls before, which is pretty entertaining if your loved one happens to be nearby.
You can also get a "dribbler" which is where the blood just doesn't want to stop coming out, but it's at a trickle. Pressure on either of these will stop the blood, so don't panic.
I think the reason why so many get all queasy or feel like they're going to pass out is just from inexperience. It's not a natural thing to be placing a piece of steel into your body and we know this both consciously and subconsciously. I know lots of guys that still have to look away when pinning as the needle pierces the skin as it's just upsetting to them. This should get better over time, but I think it's all about how you perceive what you're doing and how nervous you are about it.
My .02c