Many essential oils work well. Wintergreen oil once wored very well for me. I don't think that I grew used to it bease fir very many years I did not use it. But now it is not as hot as I remember.
Icey Hot, Tiger Balm, Capsaicin, Ben Gay, and the like are also good heat generators.
There is E-Stim devices. TENS is popular. There are also power boxes designed for this type of play.
You talked on impact. I once duck taped a large plastic kitchen spoon to the beam of a rat trap. I should have just used a mouse trap. It hits very hard. You likely won't do a full impact a second time.
Hot wax or paraphin work well. There are a wide range of waxes that melt at different temperatures. Many candles are are cool. I once accedentally dripped sealing wax on my hand. The single drop left a first degree burn. Be careful.
The other extreme of temperatures can bring pain also. Ice can hurt but also numb. Once numb it can be difficult to detect damage. So take care here too.
You can use clothespins (pegs in the UK) individually, in groups, and as a zipper.
There are those who use needles. I have heard of folks piercing testicles with needles. That is too much variety for me.
On piercing, there are very many types of genital piercing. The Prince Abert being the most popular male type. The initial pain is not too bad, less than a bee sting, an goes away quickly. Stretching a pierce, done slowly, builds a burning. I speak from experience.
Then there are real bee stings. I have also heard of wasp and ant stings.
And then there is the stinging nettles. A plant that has a caustic oil. It grows wild in some parts of the world. I am unsure of it is related to poison ivy, poison oak, and or sumac. All of these are at least annoying but can be painful.
Not sure of that covers it. I think not.
dave