Emotions, stress, depression, anxiety, fear, memory, learning, anticipation, and expectation; all these factors modulate our experience of pain and are mirrored in one of the most fascinating and intriguing phenomena in analgesia: the placebo effect.
Recent successful efforts by neuroscientists to falsify, change, delete, and improve memories highlight how highly manipulable memories are. This growing awareness is behind the call by memory experts for a protocol to regulate memory manipulation of witnesses by therapists, lawyers, and law enforcement officials.
Neural networks are used in neuroscience to create models that could potentially explain some cognitive phenomena. For example, many researchers have built models that create pretty accurate representations of child language acquisition. These networks can, essentially, learn new words and meanings, and their learning trajectory follows that of a typical child.
In linguistic relativity research, there is quite a bit of literature on metaphors and how they affect our perceptions of the world. Metaphors are built on language, and if it can be shown that people use those metaphors to think with, that would be taken as pretty solid evidence that language affects the way we think.