It depends on the procedure. I had a minor cavity filled when I was younger, and it really wasn't all that horrible. Something like a root canal would be unimaginable.
As I mentioned higher up the thread, pain thresholds vary dramatically. My father has had more than one root canal with no anesthetic because it was cheaper. He said the pain wasn't that bad. He just has a very high threshold for tooth pain, or lack of nerves there.