Do the Ringwraiths feel pain?

[Inziladun]

It seems that they do. At least the Witch-king, the most powerful of them does.

[The Witch-king] bent over [Éowyn] like a cloud, and his eyes glittered; he raised his mace to kill.
But suddenly he too stumbled forward with a cry of bitter pain, and his stroke went wide, driving into the ground. Merry's sword had stabbed him from behind....

The Battle of the Pelannor Fields (emphasis added)

Presumably that idea was carried over to the movies. At least I don't recall anything which would conflict with it.