I've been sprayed and it's not something I would do again any time soon.  The only real danger from it is you may have an allergic reaction, and possibly if you suffer from asthma or other breathing problems (or maybe stumble into traffic cause your eyes are closed).  If you have some, try spraying a bunch into a room and go in for about 20 seconds and breath it in....also put some on your wrist and see if you break out.
Aside from that, the best way I can describe the pain is to imagine you've sliced your eye open with a razor and then poured rubbing alcohol on the cut....it's an odd pain and forces your eyes closed and it will be tough to catch your breath...you'll probably panic a bit.  Once you wash it out of your eyes, your face will burn like a mother f*@*er for about 30 mins.
Something to keep in mind...if you get it on your hands, don't take a leak, and also be careful when you shower...it'll run down to that area and burn....
This is pepper spray, which as mentioned comes in various degrees.  Don't think it's the same makeup as mace, so be careful.