--certainly the central nervous system--brain and spinal cord--receives signals from the peripheral nervous system and interprets them, giving rise to the sensations we "feel".

There are situations in which the central nervous system has trouble interpreting unusual signals from the peripheral nerves, such as those associated with axonal damage--it can interpret this as any one of the many positive (pain, tingling, shooting, heat/cold) or negative (numbness/sensation loss) sensations of neural damage. But the same type of damage may give rise to different sensations in different people.