The Native Americans had the pain based initiation of the Ghost dance, supposed to summon back Tribal ancestors. (Which I believe is still illegal under Federal Law)
Actually Serp, I think you'll find that the ghost dance didn't come about until some time after most of the tribes were put on reservations. It was a protest dance and a prayer for the end of the whitemans expansion across the west. Because of that, it was a federal offense to do the ghost dance.
Another dance that was very common among the trbes was the sun dance, which involved body piercing. It was also known as the rain dance. It's purpose was to find your connection to the tree of life and reveal the great mystery.