As you'd expect by the bright coloring, an article described the pain of their sting as "life-changing, pray-for-death pain". Here is a YouTube video of someone being stung by one:
Needless to say, I was glad to have caught it in a bag. Eventually the bag was placed under a basket on a table and forgotten.
Then today as I entered the living room I saw a bug running across the table. I thought it was a roach and hit it hard and flung it down so I could get a clear path to kill it. But after getting it onto the floor, I realized with horror that this was not a roach, but the velvet ant! Quickly snatching up an envelope, I put it on top of the retreating wasp (that's what they really are) and delivered one quick blow which instantly killed it. It was running to the edge of the table and if I had entered the living room just 5 seconds sooner or later I would've missed it.
Apparently velvet ants can escape from ziploc bags. Here is a picture of the hole it made: