I'm also dealing with a lot of severe pain--in my legs as well bad headaches and jaw pain. I was told by my doctor that Xanax wouldn't help me much. I believe it is the weakest of the pills that you named.
My doctor put me on Ativan(Lorazepam), and I'm taking 2-3mg a day. I've been on it for 2 weeks now. I can tell you that the worst of my pain was at night, and the Lorazepam has really taken away my shooting leg pains, which I think is amazing! It's really helped me get some rest. I also take the Lorazepam during the day as needed--I split the 1mg pill in half and it helps if I'm anxious, having a panic attack, and it helps me deal with the pain during the day.
I know someone who is taking Klonepin, and I was told that it is stronger than Ativan. I don't know about Valium--I would think that might be the strongest of the four medicines you named.