In the novelization of Star Wars: A New Hope it says
Locating the restraining module, he opened the receiving latches in the machine and set about locking it back in place. Threepio watched the process and appeared to wince ever so perceptibly.
Is Threepio wincing because of pain or fear? And in Droids In Distress it states
Chopper chortled when he saw what only a droid could recognize—sheer horror in the 3PO unit’s photoreceptors at the mention of restraining bolts.
Droids are afraid of the effect of restraining bolt on them.
A restraining bolt is a small cylindrical device that restricts a droid’s actions when connected to its systems. Droid owners install restraining bolts to limit actions to a set of desired behaviors. Restraining bolts work in conjunction with droid “callers,” small handheld devices that compel a droid to stop what it’s doing and report to its master.
There is no information about "pain" or other effects on the droids made by the restraining bolt.
Without going too much into speculation, some droids really don't want to be controlled, like Chopper.
If you want to be a little more technical, I found a paper by Italians researchers who analyze the very concept of restraining bolt.
