Most people here seem to be giving reasons why pain is GOOD. It's a warning system, etc.

Pain is bad, because it causes us to abandon our higher thoughts, and react impulsivly, occasionally making the situation much worse. Sharp pain typically demands a swift response, like the automatic jerking of a hand away from the flame. One can learn to train themselves to surpress this automatic response, but then the damage from the flame is greater while they take the time to think out why and how they should remove thier hand from the flame.

In short, pain is bad because it, more oft than not, forces an unthinking instinctual reaction.