A lot of people interested in PM&R are also interested in anesthesia and vice-versa. Both are routes to a pain management fellowship, so is neurology by the way. You have to understand that the training required for each is radically different. I was seriously considering anesthesia as a possible residency, but opted for PM&R instead. I'll try to contrast the two for you. Maybe some aspiring anesthesiologists will also respond to this thread.
Both anesthesia and PM&R are four year residencies (an internship or preliminary year plus 3 more years). Anesthesia training is largely acute care hospital based, whereas most PM&R programs gradually shift focus from inpatient rehabilitation during the first part of residency to more outpatient/consult service during the last part of residency. Anesthesia residents spend most of their time learning pre-operative and peri-operative anesthesia management, learning how to manage difficult airways, start peripheral and central lines, obstetrical anesthesia (epidurals, spinals, emergency c-section, etc) and how to resuscitate trauma patients requiring emergency surgery. They also learn quite a bit of critical care medicine too---they are eligible for critical care fellowships following their residency. They take in-house call (usually q-3 or q4), need to be at hospital early in the AM (but usually leave by the early afternoon).
PM&R residencies focus on the medical management and functional restoration of individuals with impairments causing disability secondary to genetic factors, disease, or injuries. PM&R doctors take care of patients with spinal cord injuries, brain injuries, stroke, amputations and limb deficiencies, burns, progressive neurological diseases (MS, Parkinsons, ALS), as well as orthopedic and musculoskeletal injuries, occupational injuries, sports injuries, resulting in chronic and acute pain. PM&R physicians learn how to prescribe therapeutic exercise, physical modalities, evaluate the central and peripheral nervous system using electrodiagnosis (EMGs, nerve conduction studies, somatosensory evoked potentials, etc). Call is usually q5-7 and is usually home call at most programs. PM&R doctors learn basic interventional and joint injection techniques as part of their residency.
Both physiatrists and anesthesiologists may practice pain medicine. Both complete the same fellowships in pain medicine. It is the general concensus that anesthesiologists are a bit more proficient at interventional techniques (they do way more regional anesthesia and epidurals in their residency than physiatrists do). However, physiatrists tend to be more knowledgable about musculoskeletal medicine, have the added training in electrodiagnosis, and are more familiar with the social and psychological implications related to pain and disability.
I intend to practice interventional physiatry (interventional pain management), and chose PM&R over anesthesia because I didn't enjoy the OR, am not a morning person, and really didn't want to take q3-4 in-house hospital call for three years. I did this knowing full well that I'll probably be playing procedural catch-up in my pain fellowship relative to my anesthesia colleagues. However, I suspect that my anesthesia colleaugues will be pretty fuzzy on musculoskeletal physical examination skills, virtually unable to interpret CTs, MRIs, and plain films of the musculoskeletal system, and won't have the faintest idea of the difference between a SNAP and a H-reflex.
Which brings me to my point: If you're considering pain managment (which is at least three steps away from where you are in medical school now), either route is appropriate. They both offer different advantages/disadvantages. Pain medicine is a very multimodal and interdisciplinary endeavor---we will all be learning from eachother.
