Empathy is what we experience when we feel other people’s pain or joy–it is our ability to put ourselves in someone else’s shoes, and understand and share what they are feeling.<br />
Empathy is being able to feel another person's pain, identify with it, and feel bad for them. It's definitely a feeling that you get. Any time you have said sincerely, "Oh, I feel so bad for her", you are being empathetic.
Empathy by definition does not involve feelings, or else the empathiser would be down in the same hole that the sad victim is in.
It's more of an emotion that a feeling, but feelings can stem from that emotion. Yes you'd know if you've felt empathy.