I don't know about gender differences in pain specifically. But there appear to be noticeably different experiences of pain for different people. A large group of people were asked to put one of their feet in 8 degree C water for 2 minutes, and during that time, to rate on a scale of 10 (10 being the most intense pain they have ever felt and could possible stand), where they believed their experience of pain to fall.
The scores of the people fell into two very distinct categories. Those that rated the pain as of one that is incredibly painful and who found it hard to bear and did not want to continue, and gave it a rating of 7 or 8. And those that were not affected much by the cold water, and did not find it particuarly bad at all, and gave it a rating of 2. Nobody rated the pain induced by the cold water as a 4 or a 5. I thought that was an interesting find.