That's a very good question and quite complex to answer but I will try.
Naturally, the first issue is one of actually getting your fingers into the socket, as the terminals are likely a lot smaller than your fingers.
Let's assume for this thought experiment that you can. Next comes in issue of the order of insertion. Sockets have shutters protecting the line and neutral pins and different sockets have different methods of opening them. Some rely on earth pin insertion, some rely of simultaneous insertion of the line and neutral pins and, I understand that some require simultaneous three pin insertion.
The third question is the order in which you insert your fingers and this will likely be dictated to some extent by the second point. Connecting to Earth then line will likely trip a RCD, if one is fitted. I'm not sure if this will hurt but it will be over fairly quickly. Neutral > Earth will likely do nothing. Line / Neutral will depend on the fingers used. If they're on the same hand, the current will likely flow though the hand and give you a nasty burn. Assuming you use one finger from each hand, the current path will be across the chest and likely be really quite unpleasant before it more than likely kills you.
The is a final option, which is sticking a single finger into the line but not connecting to the earth pin at all. Assuming, as you say, that you are standing in a bucket of water, it really depends on what the bucket is made off. My first thought was that it was a plastic bucket and so likely there will be no earth path and so no, it probably won't hurt. If it's a metal bucket that depends if it's coated with anything. Assuming a metal bucket, again, it then depends on if the bucket itself has an earth path. Assuming it does, again, we get back to point three and the line / earth path and again, that depends on the presence of a RCD.
As you can see, it's quite complex and I've tried to be as thorough as possible in my answer. If you have any more specific questions, please do feel free to ask.
As a couple of final points, firstly, I should add that pain is subjective and it really is hard to tell if/how much it would hurt you. Secondly, please do bear in mind that while the odds are probably in favour of your survival without pain from trying the above, you could also end up killing yourself, so please do save it as a thought experiment and don't try this at home.
Hope that helps.
