Different types. Pimples that are inflammatory will hurt while for example those called pimples but are actually really milia and caused from clogged follicles and excessive dryness will not hurt but you will be aware of them.
Inflammation. A pimple begins as a blocked oil gland that already contains bacteria. The gland walls then begin to break down and a localized infection takes hold in the adjacent skin, which you see as red. At this stage the inflammation causes pain.