While I just got a rejection from somewhere, I must say that for me the level of 'sting' is mediated by the type of rejection letter. The one I just got was just about the nicest thing I've ever read, explaining that there were so many applicants and how wonderful I was but that they just decided to go another direction, etc. However, the other day I got one that basically just said something along the lines of 'we evaluate based on a point system. Your application did not recieve sufficient points to be considered further.' Rude.
I'm just saying, but it doesn't take much to draft a generic, but nice letter. Someday, many moons from now, when I'm settled in my career and sending someone a rejection letter, I'm going to make it nice.