Here's a bit of the abstract from Levigne et. al. "Experimental pain perception remains equally active over all sleep stages" in press at Pain
The literature on sensory perception during sleep suggests that light sleep (Stage 2) is more responsive to external sensory stimulation (e.g. sound, electrical shock) than deep sleep (Stages 3 and 4) and REM sleep. The main objective of this study was to characterize the specificity of nociceptive stimulation to trigger sleep arousal–awakening over all sleep stages....Compared to the baseline night, sleep quality was lower following the night with noxious stimulation (90.1±2.7 and 73.3±7.4 mm, respectively; P<0.03). These data suggest that pain during sleep could trigger a sleep awaking response over all sleep stages and not only in light sleep.
There are several interesting results from this study. One is the seemingly fine-grained way in which we are set up to process pains while asleep.
In the cat, during active REM sleep the sensory information arising from hair mechanoreceptors is enhanced whereas information arising from tooth pulp afferents is suppressed.... In humans, during deep sleep Stages 3 and 4, cortical EEG arousal responses induced by muscle, joint and cutaneous pain stimulations were significantly different ( Drewes et al., 1997). These findings, taken with the current results, indicate that the influence of neuronal responses, transmitted rostrally from the periphery to the thalamus and to the cortex to evoke arousal or awakening, depend on the nature of the peripheral stimuli, e.g. if relevant or potentially noxious/harmful, and on the behavioral state, e.g. awake, attentive or distracted, drowsy or asleep.
And something which conforms to our naive expectations about pain and sleep.
In addition, with longer pain stimulations, as used in the present study to mimic deep clinical muscular pain, the importance or relevance of the stimulation may override the brainstem neurons responsible for sleep maintenance and, consequently, activate the ascending arousal system to drive an awakening ( Mignot et al., 2002). Moreover, sleep awakening is probably a key reaction that prepares the sleeping person to react to a potentially threatening stimuli during an altered state of consciousness
Sleep is a evolutionarily costly activity (you're easier prey, you're using resources without gathering new ones, etc). Thus one might expect that the sleep cycle wouldn't leave one especially vulnerable to the causes of pain.
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