Researchers believe redheads are more sensitive to pain because of a mutation in a gene that affects hair color.
"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. And in 2005, researchers found that redheads are more resistant to the effects of local anesthesia, such as the numbing drugs used by dentists."
Full NY Times article here.