I often find that people get very confused between what's a good burn as opposed to a bad pain. Knowing the difference is of the utmost importance to keep yourself safe, achieve your goals and keep you from injuring yourself.
So exactly how can you tell the difference? The first important step is to get into your body and really listen to it. Doing exercise at random and not paying attention is a sure way to pick up an injury or be in the "bad" pain area later.
How do you "get into" your body or listen to your body? Simple: focus, try and feel your muscles as you're working them. We focus quite a bit on this in Pilates, hence the term "intelligent" exercise.
The Bad Pain:
So now you're in your body and loving your workout and suddenly you feel an uncomfortable pinch somewhere. STOP! Any uncomfortable or straining feeling is no good! Discomfort in your joints (specifically knees, shoulders and wrists) or a tweaking in your lower back is NOT GOOD! You should be able to move your joints freely without pain or discomfort. Your lower pack should never feel like it's tweaking/straining. Stop what you're doing immediately and ask your instructor for a modification.
A Good Pain:
When you're working out and you start to feel the effect of the workout in your muscles, i.e. a slight burning sensation or tingling feeling, it's normally a sign that the muscle is starting to fatigue. You can push through this feeling just a little, but then give your muscles a little break. The burning sensation should go away shortly after relaxing the muscle. Feeling a little bit of stiffness or soreness in the muscles a day or two after is also fine.
In short, if we can compare good pain and bad pain to talking, whispering and shouting: Then good pain is like someone's whispering or talking excitedly about something, bad pain is someone shouting at the top of their lungs - it feels abrasive and negative. If the pain persists and gets worse, consult your doctor - there might be something serious lingering!
Do not ignore your body: If you listen now you won't regret it later! Keep your body in good condition and give it a rest when it asks for one. Your muscles need a break to repair and build the beautiful muscles you want.
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Sources: LIVESTRONG, TheABC - Exercise Physiology.