"Pain" is actually a complicated subject, since there are different kinds of pain... Pain is both sensory and emotional. Like for example, you step on a nail which damages your nerves and sends signals up to your brain which make you emotionally distressed ("Ow, that hurts!") about your injury. While bugs can get hurt physically, we don't know if that translates into an emotional experience.
More intelligent creatures can feel pain in a way that we can understand, though. Unlike what every fisher has told you, fish do in fact feel pain and even fear in ways similar to a human. Some countries, like Germany, have even banned certain types of fishing for this reason.
Man that makes me not want to fish ever again! But that makes sense with the emotional response to the pain.
Last night there was a bee on a spoon in my bathroom. My roommate didn't want to take a shower out of fear or even brush her teeth. Finally after I was done with everything I took a cup, put it over the spoon stuffed a towel over it and then removed the spoon and brought the bee outside.
Whenever I see a bug that's hurt, I normally kill it because it looks like it's feeling pain. If it's able to recover I'll help it on it's way, but most times if they loose a leg or something more extreme, I just put them out of their misery.
I can see other animals feeling pain from injury. I just never really thought about bugs to much. I just instinctively try to help them. Like when it rains and worms are on the side walk, I put them in a nice pile of dirt. I couldn't imagine being stuck out in the sun and drying up until I die. That must be a horrible way to go!
