My favorite pain story is of someone else's pain- my brother's. He was in the dentist's chair with some drilling in his immediate future, and the dentist, an old WWII veteran, explained to him that he was not going to get any pain killer because the patient's brother (that would be me) was known allergic to pennicillin and the dentist didn't want to take a chance with the painkiller (I don't know what's in this stuff!)

Drilling commences. Dentist says (these are close to the exact words):
"What you are feeling is pain. Pure, concentrated, unadulterated PAIN!
Think of something to take your mind off it. . .Marilyn Monroe, ZaSu Pitts!"

The brother: "ZaSu Pitts!"