The rules presented in the film Zombieland offer plenty of good advice. We are going to examine rule number 2, Double Tap. The rule simply states to never, never ever , EVER, shoot once and assume the target is dead. Always make sure the subject has been thoroughly defeated. Such as the subject of an infinite number of horror films, the target simply will not die, or be rendered incapacitated, by normal means.
From this we must see that a simple wound, lost limb, festering gangrene or severe splinter does not affect their ability to attack. The Normal is still chased by the Zombies until the zombie can be sufficiently destroyed. However, I am unconvinced that this means they cannot feel pain.
My theory is simple--a Zombie's hunger for flesh/brains is so completely absolutely ridiculously strong that is overpowers all other feeling. A Zombie's human body is trying to expel the virus from the body; the immune system is in such an overload that the body needs a constant source of nourishment. One rich in protein. The body craves it with such a burning intensity, that is overrules all other sensations of the body. We shall call it, the Jordan Hierarchy of Zombie Needs.
We know that pain must be felt because fire has an effect of Zombies. Fire may not destroy the entire body; it is still possible to move while covered in burns. Most people refrain from doing so, because it hurts like hell. Pardon the pun. However, if a Zombie is hungry enough, its deteriorated nervous system will forgo any thoughts of avoiding said pain and charge on forward to consume whatever it can.
Unfortunately, this shows us that a well fed Zombie has the ability to hide. THIS IS EXTREMELY DANGEROUS. A Zombie that can hide is a Zombie you night not see. More Normals will be wiped out at the beginning of the Apocalypse by hidden Zombies because they let their guard down. Once the Survival of the Fittest kicks in, and the Zombies have demolished the weak, the remaining Normals will have an easier time traveling (Zombies will not be able to hide), but will have to rely on the Double Tap.
The important thing to remember is this: Underfed Zombies = can't feel pain. So be careful!