Nailed myself to a roof once - fortunately, the way the nailgun was situated, the nail just gave me a good, deep scrape down the side of my foot by the arch, but my boot was well-fastened to the sheathing and I was plenty embarrassed. Pretty much screwed up a decent, fairly new, waterproof workboot, too.
Another stupid move revealed to me that a the safety cage of a steeltoed boot will significantly impedede an air-shot nail's progress, but its still gonna hurt some.