It's actually painless. There was a man in America who got hobby of being struck by lightning. He had magnificent abilities to survive it - whenver storm was coming, he was going out with a golf stick. He said he likes that feeling.
Ever had an accident? Like being struck by a car? Things are happening so rapid you actually don't feel any pain, thanks to the overall system shock. This only happens if you organism is unpreppared. So suicide run under a truck should hurt you much. Or many, not... Anyone care to try?
Really, it's not very common thing to actually die from thunder. Electricity comes down the spine, through the heart, heading toward ground fast, mostly also touching nerves. Victims of thunderclaps are usually defeaned, blinded and scorched (temperature is extreme within thunders, it's said to be a few thousands celsius grades). Most deaths are from heart problems, heart recieved a great dose of electricity and shocked, can't work, so victim dies as he is unconsious.