I asked this same question many times. I'm an MS-4 right now and decided that PM&R would be the way I want to go to do pain. I am a good medical student, so I definitely could have done the anesthesiology route.
I have been told by PM&R residents that its probably twice as hard to match into pain from PM&R than anesthesiology. There are 93 accredited anesth based pain fellowships, and 10 pm&r based. I think if you come from PM&R you need to do more research, make connections, or go to a top tier program. The selection process may change in the future as pain programs may be required to integrate all 4 specialties.
So why did I choose the more difficult PM&R route? Well for one, PM&R docs learn Musculoskeletal medicine as part of their bread and butter care. They are used to working up pain as the vast majority of their patients have pain! They learn to use EMG in MSK workups. This is actually quite different than a neurology training in EMG which focuses on more 'exotic' diseases such as myasthenia gravis, myotonias, etc. The PM&R EMG is more geared towards things like carpal tunnel syndrome, radiculitis, peripheral neuropathy.
Now of course I did anesthesiology electives and can say there are definite advantages to doing gas also. Anesthesiologist learn regional anesthesia and most programs include 1-2 months at least of a pain rotation. The network is obviously the biggest thing as many residents inbreed into fellows at the same program. Anesthesiologist also feel very comfortable with a needle (all those IV sticks, epidurals, etc)... although most of them will admit that the manual technique of steroid injections is not tough to learn.
In the end, my advice is to do electives in both and see what you like. I strongly considered gas, but the bread and butter stuff of putting patients to sleep was not exciting for me. And I didn't want to do anesthesiology with the attitude to all my attendings that I am just doing this so I can get to pain management. If you're confident that you are going to be a hard-working/great resident, you shouldn't be discouraged that coming from PM&R is harder.
