From: CS Lewis' The Voyage of the Dawn Treader (The Chronicles of Narnia)
The quote: For several minutes he did not dare to move a muscle. He saw two thin columns of smoke going up before his eyes, black against the moonlight; just as there had been smoke coming from the other dragon's nose before it died. This was so alarming that he held his breath. The two columns of smoke vanished.
The thing: The psychological horror of being changed into a beast while keeping one's mental faculties ("for, you see, though his mind was the mind of Eustace, his tastes and his digestion were dragonish," as Lewis puts it) has a long tradition in Christian literature, starting from Boethius who, in a poem included in his The Consolation of Philosophy, described the metamorphoses caused by Circe from 'within' the heads of the victims, up to the parallel text in Tasso's Gerusalemme Liberata, and Satan's inner struggle before entering the Serpent in Milton's Paradise Lost.
In Inferno 25, Dante shows a man turning into a snake, but the psychological horror being described -- quite interestingly -- is the onlookers', and we learn nothing about the victim's feelings and thoughts. No direct psychological report is given with reference to Lady Arabella's metamorphoses in Bram Stoker's The Lair of the White Worm either; nor is in The Silver Chair by the same CS Lewis.
Turning into a wolf is quite painful especially for skeletal reasons, as it was shown in An American Werewolf in London by John Landis, 1981. In John Carpenter's 1982 movie The Thing, the horror of losing one's identity is conveyed by the first "find," the double head left after a only halfway possession of a man by the alien invader. It turns out to be this kind of feeling: