While everyone knows the phrase, "no pain, no gain," it's not necessarily true. You have to listen to your body as the sensations of discomfort and pain are important. These sensations are your body's way of telling you that something isn't right. So, while we all might like a little bit of muscle soreness, if you're experiencing actual pain you should definitely check to see if there's a problem; if there is, continuing to exercise will only make the injury worse and make you unable to continue with your workout or sports regimen.