I've had serious pain in my dreams only twice. I won't get detailed because the dreams were rather.. adult. But yeah. There was some pain associated with them that I continued to feel after I woke up for about a hour or so. Besides that my dreams tend to be painless no matter the terrible situation I manage to get myself into; falling off cliffs, being shot by several men with machine guns, etc. I've felt pressure and that is a lot different. Like when the bullets hit me there was significant pressure there, like getting the wind knocked out of me. But no actual pain.
Emotional pain is a whole other story.