There are so many ways to play with pain, it's difficult to find a place to begin. I will do these as they come to mind, in no particular order. Disclaimer: don't expect every masochist to love every one of these sensations. Some are downright rare for anyone to find enjoyable.
Spanking: I put it first because most people think of spanking when they think of BDSM, and it can range from really light to fairly heavy. Many people have experienced spanking at some level. It can sting, or it can really sting. A really hard spanking can leave bruising, which, of course, means that sitting is going to cause discomfort later. Most spanking, however, does not leave marks.
Using a paddle to spank spreads the impact over a wider surface area, and is less likely to impact deep tissue. Paddles do sting.
You can also use a belt or leather strap, which will leave narrow red stripes. Welts are also possible if you hit hard enough. We use studded belts, so they hurt more and do leave marks.
Caning thuds. Using a cane can be rather brutal on a submissive, and you must be careful not to hit anywhere where a vital organ can be affected. The lower back has the kidneys, and impact to the spine could result in terrible injury, as well. Aim well; don't be careless (with anything else, either). Canes will leave welted stripes and result in bruising.
Hot wax: Your standard, store-bought candles have wax that burns very briefly, then cools rapidly. At most, candle wax will leave something very like a sunburn. It hurts more the closer it is to the tissue surface, but since it cools very quickly, it will not cause permanent damage. I've used candles from a few inches away with no appreciable damage--just the initial jolt of burning. On sensitive areas like the nipples or the pussy, it can feel quite good.
There are special candles that burn hotter, and there is also hot latex for this kind of play. These materials cool quickly, but the initial burn is more intense. They are still designed not to cause terrible burns, though. They will not leave marks or scars, just redness.
Vampire gloves and needle play: Vampire gloves are leather gloves with tiny metal points along the palm side of the fingers. They are not long enough to draw blood, typically. They hurt more with more pressure applied, and, of course, the more sensitive the area, the more intense the sensation. I love them for full-body massages. It's a prickly sensation.
We all have had shots, so we know what needles feel like. Different parts of the body are more sensitive than others, though, and I've found that the fingers and toes are the worst--or best, depending on perspective--places to use needles. Be careful never to hit bone. It causes severe pain in the form of a horrible ache. Also, make sure any needles you use are sanitized.
In the early days of my time in the lifestyle, I used skewers through labia. These hurt a lot. I have also used needle and thread on labia to sew them shut. This kind of play isn't for the average masochist.
Electricity: There are many different devices that can be used when playing with electricity. The mildest one is the TENS unit. It's a medical device, designed for physical therapy. There are small, portable, battery-operated units that can deliver a decent shock, but I've used the wall units on the highest setting without any detrimental effects. You should avoid using putting any current through an area where it might cross the heart. 400 milliamps can cause a heart attack, but a TENS unit typically does not have this much current. I've used them on nipples and on the pussy. Just don't put electrodes on either side of the heart with any unit.
There's the violet wand. If you have ever had a shock from static electricity, you've felt the shock of a violet wand. There are several attachments you can get to fit your nefarious purposes.
There are electric insertables that can be used. They tend to get somewhat hot eventually, so I wouldn't recommend prolonged use.
I have played with a 9-volt battery, which also gets hot, so it can't be used for very long at once. I like to use it on the tongue for punishment. I also like to use her wetness to coat her clit, then touch the battery to her clit. Women love it or hate it. My slave is not a fan of it.
There's the cattle prod, which is pretty severe, as electrical toys go. It delivers a nasty shock wherever it hits. It's not for everyone, for certain.
Whipping: There are several kinds of whips. There are floggers, cat o' nine tails, scourges, bullwhips, snake whips, signal whips, stock whips...and probably a couple I'm missing. Soft-leather floggers are the mildest, but all of these will sting--some more than others. The floggers aren't going to do damage to the skin; some of the whips will, and a scourge is specifically designed for this purpose. Whips will not do damage to deep tissue, but any recipient of a lash will definitely feel it.
I've improvised with rope for whipping. It's pretty effective, but a heavy rope will thud; thinner ropes will sting.
Cutting: People who are into blood play will often bring blades of various types into it, from scalpels to utility knives, simple razor blades to hunting knives. Anything sharp that can be easily sanitized is useful for cutting. Now, the sharper the blade, the less pain will be involved initially, but alcohol on the wound will get a reaction sometimes. Sweat dripping into it will cause pain. My favorite is Liquid Skin, which can be brushed on to seal the cut. It burns like fire.
Flaying: Flaying is simply the act of cutting away the epidermis (skin surface) to expose the dermis. The dermis is really sensitive to every kind of sensation. Of course, cutting away skin isn't for the unskilled. Anyone who wants to try flaying should definitely become educated on the subject before they do it.
Burning/fire play: I should not have to warn anyone that fire is dangerous, but please understand that fire is fucking dangerous. Playing with it takes great care and should not be taken at all lightly.
Some fire play is done by brushing a flammable, volatile (rapidly-evaporating) substance on skin, then lighting it on fire. It will burn up very quickly and leave something like a mild sunburn. I don't do this kind of fire play. It's done more for the threat and the fear reaction than for the sensation. I highly recommend researching it before trying it.
Some people use the threat of a blow torch to get reactions. That can be fun, but remember, a blow torch is very dangerous to skin, and can cause third and fourth degree burns very quickly. The last thing you need is a burn that requires a hospital visit, and one that leaves permanent damage to boot.
One thing I have done with a couple of women involves a lighter. I've used both a Bic and a Zippo; the Bic is the less harsh of the two. The Zippo burns very hot, and must be used with caution. What I do is hold the lighter lit for several seconds (15 seconds for a Zippo is adequate; 30 seconds to a minute for a Bic), making the submissive watch the flame as I do, talking her through it, then I let the lighter go out (or blow it out, with the Zippo) and touch the hot metal to her skin. I focus on the underside of the breasts or on the inner thighs, mostly, but it can pretty much be done anywhere where marks are okay. After the metal cools enough not to burn, but is still quite warm, I hold it against her clit and rub it till she has an orgasm, or I deny it if I'm edging her. Then I repeat the process. Again, and again, and again. The women I've done it with were crying hysterically by the time we were done, but they loved it.
Bics leave a smiley-face mark. Zippos leave something resembling a chain link.
I've also put out cigarettes on a woman's flesh. Made patterns. Left scars. The scars fade, and are barely noticeable after about a year.
Biting: Biting can be fun. Primal. Savage. It will typically leave bruises. If you break skin, be sure to disinfect the wound quickly.
My slave will come to orgasm much more quickly if I'm biting her while I'm rubbing her clit or stimulating her g-spot. I also nibble and bite her clit during oral sex.
Hair pulling: A lot of women like their hair pulled during sex. I go a bit farther than that. I will lead my slave by her hair to where I want her. I have controlled her by her hair during an entire session, never letting go once, except for maybe a split second while switching hands.
With hair pulling, the thing to remember is to grab a lot of it and hold it near the roots. First of all, it gives you more control; if her hands are free, she can simply grab her hair at a point closer to her head and stop the pain. Secondly, you don't want to pull her hair out, and if you grab a lot near the roots, you spread the pull over many more strands, making it less likely to pull them out. Finally, it's safer--you will be less likely to have her move somewhere you don't want her to be if your hand is closer to her head.
Wooden pony: The wooden pony is a piece of wood, usually triangular, that is designed to abuse the pussy (though I imagine it wouldn't feel good on male parts, either). The submissive is positioned so her pussy is close to the board, standing tiptoe, so as her calves tire from holding her pussy above it, she will rest on the board. As she rests, she becomes uncomfortable, because the angle gives no support. She eventually raises herself up again, then tires. Raises again, tires. In the meantime. you can be talking to her, whipping her...well, use your imagination and your style of play. The wooden pony leaves the pussy tender and sore, and for a slave like mine, who loves pussy abuse, it's an ideal time for fucking.
Pussy abuse: There are many ways to abuse the pussy. I give it special mention here because it's one of the things my slave really enjoys, and something from which I get a lot of delightful reaction. After I make her orgasm several times, I slap her pussy, pinch her labia, and fuck her with four fingers side-by-side, so she's sore inside and out. When I fuck her, she moans in pain and begs for ice to relieve the sensation--but she truly loves it, and she is very likely to orgasm from penetration if she's sore.
Fisting: Inserting the whole hand into a pussy or ass can be really painful. Lubrication will make it a lot easier, and with repeated fisting, the sensation will become familiar and less severe, but it hurts in most cases, especially when the submissive has a smaller frame.
Sounding: Sounding is the insertion of metal rods into the urethra. I am far from an expert on this one. I have only seen it once.
I'm sure I'm missing some forms of play (the rack, for example), and I could write a whole article on uncomfortable positions, but I'm sure this is enough to get the imagination going. I will add more as I think of them.