This happened in Yurya (Юрья) in the Kirov region of Russia. Man was caught stealing and locals decided that he must punish himself by chopping off his own thumb with an axe. Not only did the thief chop his own thumb with an axe, he took it like a champ and never left out a simple whine. Russian Vodka is hell of a drink. Video below:
Nsfw (not gory though)
LiveLeak.com - Thumb for a Theft