What part of the body holds the most pain receptors?
There is anecdotal evidence that the cornea is indeed the most sensitive tissue. Just think of it: our eyes well up with tears when slicing an onion. A tiny insect who flew into our eye feels enormous, and a corneal injury, say a scratch, can leave us severely compromised for a number of  days. Luckily, the cornea has rapid healing powers. 

The cornea is so sensitive that part of determining the amount of brain injury one has sustained is by measuring the corneal reflex. The way this is done is to take a cotton swab and pull off some cotton fibers and twist them into a tiny tail (so to speak), and tough the cotton fibers to the cornea. If there is no reaction, that's a bad sign.

The Sensitivity of the Cornea in Normal Eyes
Evidence-based guideline update: Determining brain death in adults
Report of the Quality Standards Subcommittee of the American Academy of Neurology