Well, if by feeling no pain means that you are unable to feel anything, then I'm not for it.
There was an episode of House which addressed this very real, very rare condition and it was hell. Basically, the individual that was afflicted with this condition was not hindered by any pain since she had no feeling in her body, but it was soon determined to be a cruel existence. She would always get serious injuries-deep lacerations, broken bones, dislocated joints, burns, bruises, infected injuries-that she was unaware of and her body paid the price. She would also have to keep track of her bowel moments since she didn't get any sensation of when she needed to use the bathroom (I think she actually peed herself because she spent too long away from a restroom and lost track of time).
Sure for someone like Gregory House, who is in constant pain due to his leg injury that has left him crippled and must take large doses of Vicodin in order to get through the day, finding the secret to feeling no pain would be a godsend for him, but ultimately finds that it's a lot more trouble than it's worth (plus, he's a doctor; he can get all the drugs he wants).
So yeah, if immortality meant that I would age at a decelerated rate, ala Wolverine, that I would be up for that.