@browncoat - It depends on what kind of pain and also what your goal happens to be. If you are just looking to tone your legs I agree that you shouldn't be pushing past the point where you don't feel good. But if you're competing in a race or a triathlon or something like that, there is going to be a point where you have to push past the wall and that can be pretty painful.
I think that's probably a better goal than just toning up your legs, even if that's going to be a welcome result. I don't mean to imply that some goals are morally better than others because I don't believe they are, but completing a race is an obtainable goal and easy to manage, while you might never be completely happy with your new legs because there isn't an exact goal to aim for.