There is a really great short story by Larry Niven based on a similar premise:
"Inconstant Moon"
There is also an "Outer Limits" episode based on this. I watched that before knowing the short story and it is one of only 2 or three OL episodes that I still have an active memory of...
I wonder if you had the opportunity to do so leisurely.
A suddenly vanishing sun would also mean a spectularly high energy gravity wave hitting the earth.
You might be dead before even realizing that anything is off...
Assuming its midday, and the moon is on or near the horizon, it would actually still be seen for an additional 1.3 seconds after we see the sun disappear. If its high in the sky however, it would disappear only a few ms after the sun, unless it was in a full or partial eclipse, where it would disappear at the same time to our eyes.