You might recall that a while back a (very poorly conceived) paper about fish feeling pain created quite a stir. I suppose it all comes down to your definition of pain. For something we feel so ubiquitously pain's definition is rather elusive. Is it the "discomfort" you feel to a noxious stimulus, is it a reflex as a result of injury, is it the emotional suffering translated by our higher brain centers in response to the stimulus? As somebody who's worked with both fish and rodents I'd be inclined to think that all vertebrates feel pain. In fact by watching how slugs react to a poke, I think they might even be able to feel the essence of it. How else would they have survived this long if they couldn't learn from injuries to stay out of harm's way?
here is what the Wellcome Trust has to say about the subject:
"Nociceptive nerves, which preferentially detect injury-causing stimuli, have been identified in a variety of animals, including invertebrates. Indeed, the leech and sea slug are classic model systems for studying nociception. However, it is believed that invertebrates are capable only of stimulus-response reactions and lack the necessary brain system that vertebrates have to process pain.
In vertebrates, nociceptive information is collated and augmented in the brain and signals are relayed down the nervous system to alter the intensity of pain. All vertebrates possess the primitive areas of the brain to process nociceptive information, namely the medulla, thalamus and limbic system.
However, one area of great importance for pain perception in humans is the cortex and its relative size decreases as we descend the evolutionary tree. For instance, in relative terms, the cortex gets smaller going from humans, through primates, mammals, birds, reptiles, amphibia and finally to fish, which possess only a rudimentary cortex."