http://en.wikipedia.org/wiki/Apotemnophilia
http://www.omg-facts.com/Celebs/A-Rare-Psychological-Condition-Makes-Peo/23351
Here are three articles on people who want things amputated. About 20 years ago a man in my county bought a chainsaw, got alcohol and bandages and applied a tourniquet to his leg called 911, then chopped his leg off.
Its not common, but its not uncommon, either.
That's why they invented Thorazine.