I'm not a redhead, but my skin bleeds if it's cold out and touching snow hurts, it takes 2 shots at the dentist to make me not feel the drill (and the drill feels really, really cold too, like it's blowing freezing air onto your teeth) and I love hot sauce, hot salsa, jalepenos, and other peppers. And poking my skin with needles will not produce much reaction, I have two tattoos and hope to get more someday. (For the one between my shoulder blades, the tattoo artist was surprised at my lack of reaction because she's tattooed all over and she said she cried out in pain for the one between her shoulder blades. Lots of nerve endings there, not much fat or extra skin to help cushion, etc.)
This is my natural color. Not red in the slightest. :-(
I wonder if genealogy has a whole lot to do with it. My grandma, two of my 4 aunts/uncles, and 5 of my cousins are redhead.