Prosthetics are coming quite a long way. Giving up penis related sexual pleasure while being able to continue existing sounds like quite the easy choice.
Maybe the worst think about chopping your dick off- it would still control your thinking. Phantom Phallus. Entombed in a no-dick body still possessed by dick. The Cock of Amontillado
Minor clarification: are we talking consensual-but-unconsciois cutting off as in "I'm under anaesthesia and *someone* cuts my dick off" or is it a conscious cutting off? Admittedly, in the grand scheme, the difference hardly matters but still...