chief_operator has a great story that seems to demonstrate cats feeling guilt and persecution (ever punish a cat that *hasn't* done something wrong? see how mopey they get?), which would indicate the ability to form expectations based on chains of events. This in turn would seem to be a prerequisite for placebo effects. So yeah, maybe...

wispfox and jasra's newly diabetic cat definitely is all about the needle and the insulin so it could feel better. It seemed to be clear on the "I get needle, I get pettings, I feel better on the days this happens" concept when I was over there.

Makes me wonder how much can be compressed into their tiny brains!