I have found a small lump on the knuckle of my big toe very painful?

Several things. It could be a cyst or a bone spur. Since painful, you should see a podiatrist.
This can . Be a few different things, can be a ganglionic cyst, an inflammed corn, etc. This is something that online is a guessing gam but in person diagnosis could be made rapidly, please visit a podiatrist. Also, any description of a lump may require a biopsy.