I did few months ago (only took out one after looking @ my x ray) and was under local anesthesia (doctor's suggestion). Didn't feel a thing and was conscious throughout the whole procedure. You do get this weird feeling when the doctor snatched your tooth out tho. I mean you can't feel a thing but your heart starts racing when you heart those tools click-clacking and pulling your tooth out.
Took about 1 hr to get it done (prolly less) and went home and slept with a gauze in my mouth pressing down the extraction region to stop/slow bleeding.
Got a TERRIBLE, almost unbearable headache + jaw-ache when I woke up and realized the anesthesia's effect was gone

Thank god they gave me some meds for that (it's bound to happen)