Scientist used tho think that only humans and higher primates had brains with structure that is complex enough to allow forethought. The complex arrangement of the neurons, and the fact that they have a concept of the future suggests that they are intelligent enough to worry. An example of this is shown when a strange person comes to the breeders house, puts them in a box and into a roaring creature with legs that go round and round (a car!!). They dont peck around happily, instead they make noises of alarm and worry what is going to happen to them. An even worse scenario is when they are stuffed into crates, loaded onto a lorry and brought to a slaughterhouse. This is a terrible state for them to travel in, and they spend their time worrying what will happen to them.
The neocortex is the part of the brain that deals with complex thought. Chickens have one of these too.
An egg can only hold up to 200 calories, and many calories are needed for a big brain. This is why mammals go through the pain of childbirth, because they give their young a constant supply of calories, and their young grow a big brain. Despite possessing a tiny brain (about the size of a pea!!), chickens fit a lot into it. Their spinal chord, and some parts of the brain deals with movement, co-ordination and reflex, while the rest of the brain deals with memory, senses, future conceps and voluntary actions. This is quite a lot to fit into such a tiny brain!