I've had this discussion on Facebook recently, and think it's fair to add, without trying to turn this into a religious argument, that, while the animal has to be conscious, one of the original points of Halal was for the animal to experience as little pain as possible. As such, lots of Halal butchers anaesthetise the animals before they kill them. They're awake, but they don't feel pain, and they die very, very quickly when it's actually done according to the proper rules of Halal butchery, as you're meant to sever the arteries and the wind pipe in one quick cut.
All that aside, it's far more important to me how an animal lived than how they died. Knowing that they were 'humanely killed' is no comfort at all when I also know that they spent their entire lives indoors, never saw the sunlight, lived off of some sort of 'feed' rather than the food they would eat if they were outside (cows are supposed to eat grass). When I eat game, I know they were probably both afraid and in pain before they died (I mean, the first shot must rarely kill a large animal like a moose, unless I'm much mistaken), but I also know that they spent their lives running around in the forest doing animal things and living like nature intended them to. That to me is what matters most.