Is radiation therapy for lung cancer painful?

Possibly. Radiation is painless during the treatments. If the esophagus is in the treatment fields it can cause a painful condition called esophagitis about 3 weeks into the treatment. This is worse when a patient also takes chemotherapy. There are medicines that help this discomfort and when treatment is done it should resolve.
Possibly. It depends on what tissues are treated by the path of the beam. By itself, it is not painful. But, it can interact with tissue over time to cause irritation. The esophagus is the first thing one can cause irritation with that is significant: so swallowing can hurt. This is an organ thereofore we try to avoid. Skin too can be affected, but more with protons than photons. Each case is unique.
No. Radiation itself is not painful but can have side effects such as tiredness, skin irritation, cough, shortness of breath and low blood counts.