Effective pain management is a desirable standard of care for preterm and term newborns and may potentially improve their clinical and neurodevelopmental outcomes. Neonatal pain should be assessed routinely using context-specific, validated and objective pain methods, despite the limitations of currently available tools. Reducing invasive procedures, and using pharmacological, behavioral or environmental measures can be used to manage neonatal pain. Non-pharmacologic approaches include kangaroo care, facilitated tucking, non-nutritive sucking, sucrose and other sweeteners, massage and acupuncture therapy. They are used for procedures causing acute, transient, or mild pain, or as adjunctive therapy for moderate or severe pain. Local and topical anesthetics can reduce the acute pain caused by skin-breaking or mucosa-injuring procedures. Opioids form the mainstay for treatment of severe pain; morphine and fentanyl are the most commonly used drugs, although other opioids are also available. Non-opioid drugs include various sedatives and anesthetic agents, mostly used as adjunctive therapy in ventilated neonates. Acetaminophen, ibuprofen and other drugs are used for neonates, although their efficacy and safety remains unproven. Approaches for implementing an effective pain management program in the Neonatal ICU are summarized, together with practical protocols for procedural, postoperative, and mechanical ventilation-associated neonatal pain and stress.