The reason the saying "No pain, no gain" is so common is because it's true: If you never feel discomfort when you exercise, you're not getting all the benefits. What separates great athletes from mediocre ones isn't only talent and training – it's also how well they can handle discomfort.
When I've helped out-of-shape friends get back into shape, the first thing we do is get them more accustomed to struggle. You train hard, which is uncomfortable, and then you get sore – and then you're uncomfortable because you're sore. But you have to keep going. Think about it this way: You acclimate to the pain in order to experience less of it. As you get stronger, you reach higher levels, and so you feel less sore.
Of course, there are also times when you shouldn't work though the pain. Smart athletes know there's a difference between the agony of being hurt and the agony that makes you stronger, faster, and better. The pain of an injury, unless you're masking it with ibuprofen or other drugs, is usually pretty identifiable compared with the pain of sore muscles. Cultivating a relationship with discomfort will help you discern the difference between good pain and bad.
You already know that you're going to hurt during a long ride or hard workout, when you crash in big waves or even when you're stretching through tight muscles in a yoga class. You have to ask yourself, "What can I bear?" I've always had a huge pain threshold – I've broken legs and dealt with it – and the ability to deal with the pain of injury allowed me to heal faster.
One of the best ways to keep from getting too comfortable and complacent is to do something you're not good at or something you don't normally do. So if you're good at running, you might suffer when lifting weights, so you don't lift. Yet to become a better runner, you may have to lift. It will hurt at times, but you will become a better runner. You don't want to do a hard workout, but you go through it. It's superagonizing, but when you finish it, you're rewarded with an endorphin high and a sense of accomplishment. For example, riding goofy-footed has helped me become a better right-footed surfer.
So if you lift, and all you do is low reps – seven, 10, 12 – start throwing 30 reps into your routine. You'll find out right away that you can't take even half the weight, and that's not fun. As soon as you get into volume reps, it's almost like cardio training, and it'll be pretty uncomfortable. But if you're a strength guy, you'll benefit from higher-volume reps. On the other hand, if you're an endurance athlete or high-volume guy, you'll benefit from working on your strength and lifting heavy weights. You really should focus on trying to have the whole package: flexibility, strength, and endurance.
See also: Make Yourself Uncomfortable