National Geographic News asks, "Did your seafood feel pain?" It is an interesting question that really can not be answered. "No" is not a legitimate answer, mostly because you can not prove a negative. Animals, even invertebrates, have the types of neurons that signal tissue damage, nociceptors, so the null hypothesis has to be that they can feel pain. From there, the question only gets more complicated.
In terms of animal welfare and dietary choices, it's not really pain that we are concerned with so much as suffering. That implies higher-order cognition and all the baggage that comes along when contemplating awareness and consciousness in animals. Pain and suffering are not equivalents. At times we seek pain, as evidence that exercise is generating desired effects, for example, and most pain is more annoying than traumatic. Fright can be exhilarating, and many modes of play simulate danger, so even when we observe behaviors in animals that imply pain and panic, we can not conclusively declare that the animal is suffering.
Even if we grant animals a considerable allotment of consciousness and intellect, they don't become doctors or philosophers. Most animals likely have no conception of death, so injury and danger would not trigger abstract pangs of loss and longing. Those are burdens we bear.
In a classic ethological observation by French entomologist Jean-Henri Fabre, a wasp consuming food was captured by a praying mantis. Fabre watched the mantis devour the wasp's abdomen while the wasp continued to consume its own meal. With invertebrates at least, there is evidence that even lethal injuries do not result in significant pain.
It is quite possible that confining animals results in more psychological distress than killing them. You have to assume that animals experience some degree of pain. The real question is how much should you care? Me, I care more about the quality of life than the manner of death.
To appreciate how complicated this question is, read the National Geographic article and pay close attention to the crab experiment. Researchers concluded that crabs can feel pain because electrical shocks serve as training cues. But in their experiment, one out of every nine crabs "cast off" the leg with electric wires attached. Some crabs severed two of their own legs, so the experimenters excluded them from the results.
That's a convenient move if you are hoping to conclude that crabs feel pain. Otherwise, how do you explain that some crabs prefer self-mutilation to mild shocks or the simple discomfort of constrained leg motion? It's utterly routine to find spiders and other arthropods with missing legs, and if you've ever witnessed an incident where a leg is lost, you know that there is no writhing or other signs of major pain.
I find it painfully amusing that an experiment which revealed how readily a crab will amputate its own leg is offered as a reason to concern ourselves with a crab's pain. Is an experiment where we deliberately inflict pain so we can decide whether the subject feels it really about animals, or is it a dissection of our own morality?