I don't think they feel pain. I think I remember something about a zombie walking around with a broken leg or something, not sure if that really happened. But it seems they do not have pain, since they don't stop when they are getting shot at. They don't react like any normally functioning creature would when wounded. Any creature, animal or human, avoids pain. If an animal with survival instincts learns that if they go near a particular place and are hurt whenever they go, they will learn to avoid the place. The zombies, on the other hand, do not avoid places like the Tower, where they are hurt and killed. This could also be because it is a food source, but I think part of it is that they do not feel the pain, at least in the same way a normal creature would.
I agree with Wicked Sid, I think it could be a neuron thing. If they are not firing properly, the zombies would not have the normal physiological responses. Including pain response, reflexes, and things like that. It would make sense, also, if they have limited need for oxygen. Since neurons need oxygen to fire correctly, the anatomy and physiology of the zombies could have been altered, so that pain neurons were eliminated, in a way. But they would still need the neurons to the muscles, to tell the body to move and all that. So it is questionable, how it works out.
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