Good question! Some pain when you feel turned on is normal and can be felt in a couple of places. Long story short, if you have female reproductive organs, this is likely because of tightening pelvic floor muscles or vaginal contractions in response to stimulation. If you have male reproductive organs, it could be a result of all the blood flow going to your testes or penis when you get turned on. Some people can also feel some stomach pain when they get turned on because of nerves and other contractions.
However, arousal should never be only painful, and definitely not very painful. If you are feeling this, it is important to talk to your doctor about this and explain specifically where it hurts to make sure it is not an infection or any other condition.