Your choice of essential oils for pain relief depends on the nature of your pain. The following list shows the effects of various essential oils:
For a numbing effect:
To reduce swelling:
For a heating effect:
To relax and sedate:
Source: Aromatherapy for Dummies
Other essential oils with pain-relieving qualities include anise, coriander, eucalyptus, niaouli, nutmeg, rosemary, sage, and wintergreen.
Blend your chosen essential oils with an aromatherapy carrier oil. Rub a little of the blend into the painful area.
For arthritis, back pain, and general muscle pain:
Massage a little of the blend into the affected area.
Source: Healing with Aromatherapy
The book also suggests the following blend to reduce heat and inflammation:
Soak the affected area for 20 minutes (you can use a compress).
Add up to 5 drops of one of these essential oils (diluted in 1 teaspoon carrier oil) to a warm/hot bath: eucalyptus, German chamomile, juniper, lemongrass, or marjoram.
Sprains, strains, and swollen joints:
Add up to 8 drops of essential oil to 4 teaspoons of carrier oil. Gently massage the blend around and above the injury. Use German or Roman chamomile, cypress, frankincense, juniper, lavender, marjoram, or rosemary. Another option is to make a cold compress using 4 drops of essential oil, and apply the compress to the affected area.
Also see these articles for more about using essential oils for specific types of pain:
I recommend Young Living essential oils.
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