Researchers believe redheads are more sensitive to pain because of a mutation in a gene that affects hair color. ... A mutation in the MC1R gene results in the production of a substance called pheomelanin that results in red hair and fair skin.
The MC1R gene belongs to a family of receptors that include pain receptors in the brain, and as a result, a mutation in the gene appears to influence the body’s sensitivity to pain. A 2004 study showed that redheads require, on average, about 20 percent more general anesthesia than people with dark hair or blond coloring.
--Tara Parker-Pope, NYT, on the curse of red hair