It does rather come down to a "define pain" issue, doesn't it? For myself, I would say that they do. If they felt no pain, I would also think they would feel no fear, and we do have some evidence that Sauron used the fear of pain to get what he wanted (the torture of Gollum, if nothing else). The Nazgūl might have built up a tolerance to it, whether it's physical or psychological, but I suspect Sauron wouldn't want them to get so used to it that he can no longer use it against them. And they
do fear him.
One could also ask if they feel pleasure,but that's another kettle of fish.
