It used to be believed that women had a higher pain threshold (up to 9x higher!) than men. However, studies are showing that it may be the opposite. Research is showing that women are more sensitive to pain and actually have more recurring pain, more severe pain and longer lasting pain. Pregnancy being the exception because women become less sensitive to pain and natural painkillers kick in.
Men and women also seem to think and feel differently about their pain. Men tend to focus on the sensory pain and react to it, while women focus on the emotional pain and are more passive or accepting of the pain.
I have only briefly read through the research and comments about pain threshold of men vs women. But to me, it seems that women, in general, have lower pain threshold but higher pain tolerance than men. Which means that women feel pain sooner, but the amount of pain a person can handle before breaking down physically or emotionally is higher for women.