I've done it! Right through my nail on my index finger. I would have stopped to cuss up a storm but I didn't want to bleed all over my quilt and my bedroom.
And the funny thing is, I remember when my grandmother, a gifted seamstress, was working on my aunt-to-be's wedding dress and she did the same thing (I would have been about 5). I'm sure she hustled off quickly too so that she wouldn't bleed on the white fabric.
So I'm guessing if you sew enough, it happens. :) But I got laughed at at the LQS when I revealed this during "Show and Tell."