It's a weird feeling the first time you do it. With a gun you can do it from a distance. You're removed from it. I regularly hunt rabbits in the neighborhood that ruin the gardens around here. Two weeks ago I didn't get a good shot at one so it didn't die right away. I hit it but it was crawling away. I went up close to and finished it off; point blank.
For a few seconds I watched as it tried to escape into the brush. I didn't line up the rifle normally for this shot. I wanted to see the rabbit up close as it died. I watched its eyes as I pulled the trigger. As soon as the bullet made contact all the color from its eyes flushed away instantly and it went limp. I'm having trouble explaining how it made me feel.
I'd do it again though.