I've cut my shin pretty badly on the pedal after missing it a couple of times, and have smacked my crotch on the top tube or the nose of my saddle a few times, but I find that the pain is excellent for conditioning me so that eventually I DO learn to clip in on the first try -- a skill that could be the difference between sticking with the pack and being spat off the back in the first seconds in a race situation.

The worst is going from my commuting shoes (with tread) to my training shoes (with slippery plastic sole).