Its mostly a matter of power density. I'd say you can feel it at about 10mW/mm2, when aimed at a moderately sensitive part of skin, like the top of your hand. This figure is for white skin.
So if you have a 100 mW green laser that has a beam diameter of 2 to 3 milimiters, you can feel it 'sting' your skin quite easily. Focussed to a pinprick, it will probably also be possible to feel something like 20 mW.
Determining when damage occurs is a bit more diffucult. I'm sure a 100 mW laser focussed to a 2 mm diameter dot would eventually cause a burn, but most people tend to get their fingers out of harms way before that happens.
I suppose there would be something analog to the blink-reflex eye safe power levels - it takes some time for a reflex to move a hand out of an unpleasant situation. The reflex speed varies between people, but its usually several hundred milliseconds.