I think this old article from 2002 is very intresting. I always thought women were better in this.

“Males are better at tolerating pain than females because of a key difference in how the sexes transmit pain messages, researchers have found.

A protein called GIRK2 plays a major role in pain sensation and drug sensitivity in males, but is not as important in females. Removing GIRK2 means the sexes become equal in their ability to withstand pain, experiments on mice showed. Taking account of this difference could in the future lead to far more effective painkillers for women.”

http://www.newscientist.com/article/dn3185-why-males-bear-pain-better.html