I was just reading Alan Watts's "The Wisdom of Insecurity". He writes exactly about this topic in detail. Because we are sensitive creatures we have to be vulnerable to pain. Some people desensitize themselves (ie. macho young males) and as a result part of them dies. Also talks about the extreme senses that animals have and how their lack of memory and prediction effects their pleasure and how it differentiates them from us.

If we are to be fully human and alive and aware, it seems that we must be willing to suffer for our pleasures. Without such willingness there can be no growth in the intensity of consciousness. Yes, generally speaking, we are not willing, and it may be thought strange to suppose that we can be. For "nature in us" so rebels against pain that the very notion of "willingness" to put up with it beyond a certain point may appear impossible and meaningless. Under these circumstances, the life that we live is a contradiction and a conflict.

Because consciousness involves both pleasure and pain, to strive for pleasure to the exclusion of pain is, in effect, to strive for loss of consciousness. Because such a loss is in principle the same as death, this means that the more we struggle for life (as pleasure), the more we are actually killing what we love.

For the animal to be happy it is enough that this moment be enjoyable. But man is hardly satisfied with this at all. He is much more concerned to have enjoyable memories and expectations - especially the latter. With these assured, he can put up with a extremely miserable present. Without this assurance, he can be extremely miserable in the midst of immediate physical pleasure.

This is the human problem: there is a price to be paid for every increase in consciousness. We can not be more sensitive to pleasure without being more sensitive to pain. By remembering the past we can plan for the future. But the ability to plan for pleasure is offset by the "ability" to dread pain and to fear the unknown. Furthermore, the growth of an acute sense of the past and the future gives us a correspondingly dim sense of the present. In other words, we seem to reach a point where the advantages of being conscious are outweighed by the disadvantages, where extreme sensitivity makes us unadaptable.