1.) It depends on the person. Personally, I hardly experience any pain in my lucid dreams. The only time I really feel pain is in my non lucids. For most people, if they do feel pain, it doesn't feel as real as waking life pain. Though, like I said, it depends on the person.

2.) Usually, if you die in the dream you just wake up. Some people continue on with the dream though and wake up in another place, or something like that. They just continue the dream until they actually wake up. You may have heard the myth that if you die in your dreams, then you die in real life. That is NOT true.