First off, I know a lot of people who believe quite emphatically that there's a connection between pleasure and pain... although, as noted, extreme pain during exercise probably means Something Is Wrong.

I think a better perspective is tension-release -- exercise produces a temporary increase in body tension, but that just enhances the feeling of release afterwards when that tension ends. There's also a certain... drunken sort of amusement to watching your body not be able to do things you know it should be able to do. Then again, those endorphins are supposed to be cousins of morphine, so I guess that makes sense...