That would be a difficult death, but the thing about Sebastian is that he didn't actually die from the arrow wounds. He survived the arrows and died later after being beaten to death. For this reason, he is sometimes called "the martyr who died twice."
Here's the fully story. In the late 200s, Sebastian was the a captain of the Roman Praetorian Guard under Diocletian. As a Christian, Sebastian encouraged camptured Catholics facing martyrdom not to deny their faith in Christ. Sebastian not only encouraged these prisoners, but he also converted up to 78 pagans to the Catholic Faith.
The Emperor Diocletian reproached Sebastian for his political betrayal, and he commanded him to be led to the field and there to be shot full of arrows. Miraculously, the arrows did not kill him but only severely wounded him. Nonetheless, the soldiers believed him to be dead. A widow named Irene went to retrieve his body to bury it, but she found that he was still alive. She brought him back to her house and nursed him back to health.
When Sebastian had recovered, he sought the emperor Diocletion and reproached him for fighting against Christ and the Catholic Church. The emperor was startled since he thought that Sebastian was dead (from the arrows). So the emperor had him beaten to death. This time, Sebastian died and went to his heavenly reward.
Saint Ambrose makes an application for us from the life of Saint Sebastian with these words:
Take the example of the martyr Sebastian, whose birthday in glory we celebrate today. He was a native of Milan. At a time when persecution either had ceased or had not yet begun or was of a milder kind, he realized that there was only slight, if any, opportunity for suffering. He set out for Rome, where bitter persecutions were raging because of the fervor of the Christians. There he endured suffering; there he gained his crown. He went to the city as a stranger and there established a home of undying glory. If there had been only one persecutor, he would not have gained a martyr’s crown.The days may come when we may have to offer our lives to Christ as martyrs. It has happened in every century. Let us pray for that grace to persevere, and draw near to Christ.
The persecutors who are visible are not the only ones. There are also invisible persecutors, much greater in number. This is more serious. Like a king bent on persecution, sending orders to persecute to his many agents, and establishing different persecutors in each city or province, the devil directs his many servants in their work of persecution, whether in public or in the souls of individuals. Of this kind of persecution Scripture says: All who wish to live a holy life in Christ Jesus suffer persecution. “All” suffer persecution; there is no exception. Who can claim exemption if the Lord himself endured the testing of persecution? How many there are today who are secret martyrs for Christ, giving testimony to Jesus as Lord! The Apostle knew this kind of martyrdom, this faithful witnessing to Christ; he said: This is our boast, the testimony of our conscience.
- From an exposition of Psalm 118 by Saint Ambrose