Research studies of ‘audioanalgesia', the ability of music to affect pain perception, have significantly increased in number during the past two decades. Listening to preferred music in particular may provide an emotionally engaging distraction capable of reducing both the sensation of pain itself and the accompanying negative affective experience. The current study uses experimentally induced cold pressor pain to compare the effects of preferred music to two types of distracting stimuli found effective within the previous studies; mental arithmetic, a cognitive distraction, and humour, which may emotionally engage us in a similar manner to music. Forty-four participants (24 females, 20 males) underwent three cold pressor trials in counterbalanced order. The Paced Auditory Serial Addition Task provided the cognitive distraction and a choice was given from three types of audiotaped stand-up comedy. Participants provided their own preferred music. A circulating and cooling water bath administered cold pressor stimulation. Tolerance time, pain intensity on visual analogue scale and the pain rating index and perceived control were measured. Preferred music listening was found to significantly increase tolerance in comparison to the cognitive task, and significantly increase perceived control in comparison to humour. Ratings of pain intensity did not significantly differ. The results suggest preferred music listening to offer effective distraction and enhancement of control as a pain intervention under controlled laboratory conditions.