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You may or may not get lassoed, usually not, especially if you stop, or are lying on the ground gasping and picking rocks and branches out of your hair.
If you're the first one caught, the crew takes you to the finish line to wait for your partner. While there, you brush your hair, apply bandages to any flesh wounds, drink as much water as you can get your hands on, and flirt with the camera crew. (Just a guess.)
If you're the last one caught, they untangle you from the barbed wire fence, pry you off of the saguaro, or drag you out of the quicksand. (Just a guess.) Then they reunite you with your previously-caught-partner so you can both hug each other, blame each other, or say "I sacrificed myself so you'd make it!"