Researchers at Glasgow University investigated the relationship between music and pain. They determined that listening to your favourite music can help alleviate pain and increase pain tolerance. They suggest that you may further increase your tolerance to pain if you know the words and have a connection to the music. It didn’t matter what style of music – just so long as you relate to it and enjoy the music.

What does this mean for you? If you are in pain, try incorporating your favourite music into your day as a means to help manage pain levels. If you know the words, sing along at it may help you manage.

Rather then summarize the whole study you can listen to the author’s interview with CBC.
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Source: An investigation of the effects of music and art on pain perception. Mitchell, Laura A.; MacDonald, Raymond A. R.; Knussen, Christina. Psychology of Aesthetics, Creativity, and the Arts. Vol 2(3), Aug 2008, 162-170
http://www.psycnet.org/index.cfm?fa=main.doiLanding&uid=2008-10950-005

CBC Article: Music can take the pain away, study finds
http://www.cbc.ca/arts/music/story/2009/02/13/music-pain.html