It's kind of hard to say, really. I've never been a woman, so I can't really give an actual comparison--and pain is subjective, so there's no real way to quantifiably and objectively measure pain and pain tolerance. That said, men are stereotypically putting themselves into harms way more frequently (i.e. contact sports, redneck-style stunts, warfare)--although whether that has to do with pain tolerance or bull-headed idiocy I don't know (and I don't want to get into gender roles either).
In the end, though, I think I'm going to just say that you can't really draw a line by gender--I think it's more of an individual thing. I've seen both men and women drop into hysterics over a stubbed toe and I've seen both men and women take dislocated joints in stride.