A lot of the answers get distracted by the "feeling pain" part of the question. So let me start by focusing on that - simplifying a very complex psycho-physiological issue to a simple physical statement (this is a physics forum - we leave the other stuff for other sites):
During the impact of two bodies, there will be an exchange of momentum. The force required for this exchange of momentum is responsible for the pain.
The momentum exchange is mediated by a force $F(t)$ by one body on the other (and, by Newton's law, this force is reciprocal); the exchanged momentum is given by $$\Delta p = \int F(t) dt$$ with the integral taken over the duration of the collision (or any longer time than that, given that $F(t)=0$ for other times by my definition of it). "Pain" is a result of both the magnitude and duration of $F$ - so the question can be restated as
For a collision between two bodies, does the force-time curve describing the impact depend on which of the bodies is moving?
The answer to that question is (within the bounds of classical mechanics) a categorical "no". The force depends only on the initial difference in velocity and the shape / materials properties of the two objects. Several answers already addressed that issue in detail - I quite like the example by Rob who describes the experiment taking place on a train, but here's an even better one:
You are on the baseball field, and the ball is traveling towards you. There are two observers: one is standing right next to you, while the other is traveling on a train at the same speed as the ball. For both observers, it is impossible to see any of the ball park - so they don't have an "external" frame of reference, only their own.
They observe the same event - same look of surprise, eyes closing in anticipation, face distorting during impact, cry of pain. One of them thinks you hit the ball; the other thinks the ball hit you. Same experiment, different observer, same outcome.
IT DOES NOT MAKE A DIFFERENCE.