I played paintball only once and managed to get shot square in the throat. It didn't leave a scar, but it did bleed a little bit, and freaked me out a lot at the time—for a few minutes anyway.
I've also experienced getting nailed in the throat with a paintball, and for a real brief time I got worried that it damaged my windpipe. The other most painful hit I took was right in the "webbed" part on the hand in between fingers - my hand locked up in pain!