I used to self harm a lot. My thing was burning. I would usually light a match, let it catch on the stick, then hold on against myself till the fire went out. Did that with an entire pack once.
Also used to scratch myself as well. Let your nail grow slightly long, and then just keep scratching the same spot for about 2 minutes. Eventually you draw blood and it leave one hell of a wound.
I'm actually training to be a youth worker right now, so I've studied into this a bit. Most people do it, whether they relies it or not, because the part of the brain that controls pain and the part that controls emotions are different. So if you're either under a lot of emotional stress or you get to a point of total numbness, (most people can never truely understand that unless they've experienced is or seen it. The feeling of numbness is more similar to an outer body experience. You're just aware of things, but you don't interact. You don't feel or do or want anything. You're just a husk of a person.) self harming causes the brain to work with another part and hence distracts you from those feelings.
It can also be used as a form of self-punishment either for making what they perceive to be a big mistake. It acts as a reminder to never do it again, because you remember that pain and that scar with that mistake.