I came across an interesting fitness blog post recently. It is a great point of thought, I make it a point, regardless of the program design for my client to ask how do they feel. Asking and listening to a client is very important and should determine how you proceed before training. How do you all address this subject with clients.
There are many types of pain. Pain from over exertion requires recovery and may require medical intervention. Pain from injury definitely needs to be assessed and return to exercise needs to be approved by a physician. Regardless of the cause, pain is a contraindication to strenuous exercise, and perhaps any activity, until the pain is at least reduced and/or the cause is uncovered. Some forms of pain and discomfort are due to sedentary lifestyle and respond well to slow progression of activity.
If you want a more specific answer, you will need to tell me what type of pain you are referring to and the cause if you know it.