Unfortunately there is no April Fools joke when it comes to pain or soreness. Your muscles have an abundant blood supply which also regenerate and respond faster to the overload of exercise you are putting your body through. The object of exercise should be to strengthen muscles (which can cause soreness) and not to overload bones and joints (which can cause pain and injuries). Typically, weight training causes soreness (which means muscles recover from the strain of the exercise and become stronger) and aerobic exercise i.e. walking, cycling, running, swimming does not cause soreness (since the muscles are not strained to the same extent).
The intensity at which you exercise will determine what you get out of it. If your goal is to lose body fat, then you need to exercise at a different intensity compared to someone who trains to build muscle / tone up. Same concept goes for endurance training. Some questions that arise: Should you feel pain in your muscles the day after you exercise? What about the type of pain that is felt two or several days following exercise?