If you do it right,
cigarette burns don't hurt. If you can hold on, and suffer through the inital burst of pain, eventually
it will stop hurting completely. This happens because the
heat burns away the
nerve endings under your skin. Poof, no more
sensation at all. This is called a
third degree burn.
Cutting yourself is different. The pain stays right there with you. If you really want to leave a scar, you'll probably have to make several slashes in the same place. Serrated blades leave thicker, more irregular scars than a razor or a fruit knife, though this also depends on the texture of your skin.
A proper cigarette burn will become a blister over the next few days. If you want to pop it, I'd suggest you do it early on, before the nerves get a chance to heal. If you wait too long, it will hurt quite a lot. It will come out looking roughly the same either way.
I don't like wearing short-sleeved shirts, because people ask me about my arms. Sometimes I lie, and say that they're mosquito bites, and that I had an accident with a bicycle when I was a kid. No one who pays attention really believes this; the marks are too evenly placed to have been accidental. But they let it go anyway. Sometimes I tell the truth. I usually regret it when I do this. Unless I can see their arms too.
I do it to make the pain go away. Physical hurt is much easier to deal with. The sting, and the taste of my blood, or the smell of my skin burning, gives me something easy and real to focus on. Everyone has their coping mechanisms.
I also do it to keep the pain with me forever. Each scar is a tissue memorial to whatever I might have lost, or found. Rows of tiny irregular circles and long narrow slashes. The story of my life written in morse code up and down my arms.
Dot dot dot. Dash dash dash. Dot dot dot.