Are we talking removal of head with sharp implement or just having your throat cut?
If we're talking removal of head, then the anticipation would be worse than the actual removal of your head. I'm not sure the nerve impulses would have enough time to get to your brain before your spine was severed to let you know how it felt.I don't imagine it would stop you jerking around and twitching for a bit though. God knows, poultry will run without a head, but without it's head it isn't feeling any pain.
There have been studies done on this stuff...
www.pubmed.gov has pages and pages of abstracts and article links relating to slaughter methods from all over the world. In one study alone they found in adult cattle, a small percentage lose spontaneous brain activity immediately after being bolted but the average is loss of spontaneous brain activity within 10 seconds of being stuck.