Interesting. The Ringwraiths would have to be able to feel 'something,' as if they couldn't, they would not be able to sit on/control their horses/fell beasts, use their real world (ME) swords, or accurate swing a mace at a maiden's head.
That said, the one Aragorn sets ablaze at Weathertop seems more annoyed that he will have to sit in wardrobe for a few hours than if he really felt the fire.
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There is naught that you can do, other than to resist, with hope or without it.
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