*giggle* you too? I can remember fantasizing about being tied up and tormented, and masturbating to it, as early as 6 years old.
As far as setting, hmm, either has possibilities....
If you're cool with it, we could work off my D&D world, the one I've given glimpses of in Nexus. I have a long-term character (we can use the persona, don't have to bother with mechanics) named Mavra. She was a 'greater' pain elemental, meaning she is half-human, half-pain elemental, but melding the more powerful parts of both backgrounds. To her pain isn't just a calling, it's something she has come to truly relish and need to inflict... which in terms of her people actually makes her a deviant. She lives in the world full-time now, having abandoned her plane, wanting to live where there is a steady supply of 'victims', willing or otherwise.
If you don't like that idea, we can always come up with another.