As an addendum (with some contrasts) to the previous answer (To be honest, I had the same feeling that women have definitely a different pain threshold compared to men.)
According to WebMD (http://www.webmd.com/pain-management/chronic-pain-conditions),
It is now widely believed that pain affects men and women differently.
While the sex hormones estrogen and testosterone certainly play a role
in this phenomenon, psychology and culture, too, may account at least
in part for differences in how men and women receive pain signals.
But interestingly, studies showed that men have a higher pain threshold than women:
male experimental animals injected with estrogen, a female sex
hormone, appear to have a lower tolerance for pain-that is, the
addition of estrogen appears to lower the pain threshold. Similarly,
the presence of testosterone, a male hormone, appears to elevate
tolerance for pain in female mice.
It seems that the pain killing system in women and men work differently, as suggested by some studies showing that some painkiller (such as kappa-opioids, which are used in labour) work better in women than in men 1.
The exact reasons for this difference in pain perception is, however still unknown.
Here extracts from the abstract of a study, which browsed the literature concerning pain perception in men and women:
In addition, sex hormones influence pain sensitivity; pain threshold
and pain tolerance in women vary with the stage of the menstrual
cycle. Imaging studies of the brain have shown differences between men
and women in the spatial pattern and intensity of response to acute
pain. Among rodents, females are more sensitive than males to noxious
stimuli and have lower levels of stress-induced analgesia. (...) Research on transgenic mice suggests
that normal males have a higher level of activity in the endogenous
analgesic system compared with normal females.
Wiesenfeld-Hallin Z. Sex differences in pain perception. Gend Med. 2005 Sep;2(3):137-45. http://www.ncbi.nlm.nih.gov/pubmed/16290886
So probably, differences in pain perception between women and men is multifactorial: psychological, cultural and biological.