The short answer to your question is "No." Exercise doesn't have to be painful and, in fact, pain may indicate that you're working out too strenuously and have injured yourself. However, this issue is not as simple as it may seem. I discussed your question with fitness expert, Dan Bornstein, who distinguishes between pain and the exertion required to make positive changes in your body or improve your strength or endurance. Dan likes to say "no challenge, no change" and believes that if we want to make significant changes, we need to be willing to challenge our bodies to work a little harder than may be comfortable. As a result, in the day or two following a challenging workout, you should be aware of the muscles you have been working. They may be sore, but the soreness shouldn't rise to the level of real pain.
Some interesting recent research touches on this subject. A study at Iowa State University, Ames, found that pain during exercise was the most accurate sign that a person may be working too hard. "The most appropriate level of...intensity for health-oriented exercise is the intensity that does not feel unpleasant," noted study director Panteleimon Ekkekakis. The study results show that most people begin feeling uncomfortable during exercise when the muscles shift from aerobic (with oxygen) to anaerobic (without oxygen) metabolism. Dr. Ekkekakis says this means that you'll get the same benefits of exercise at the level of intensity that feels comfortable as you would if you worked until it starts hurting, particularly if you're overweight and are just starting an exercise program. Results of the study were published in the February 2004 issue of Preventive Medicine.
Dan agrees that you don't need an intensive, uncomfortable workout if all you're interested in are the basic health benefits of exercise. But if you want to change the shape of your body or significantly improve strength and endurance, you'll have to exercise more intensively.
Whatever your goal, if you're just beginning to exercise, don't push yourself too hard. You could injure or exhaust yourself, and give up.
Andrew Weil, M.D.