You don't want to act like a baby and quit your exercise program just because of a little muscle pain. "We’ve all been conditioned to think that unless we 'feel the burn' we’re not working hard enough when we exercise. However, there is a fine line between reaching that optimum fat burning zone and over doing it."
You should stop exercising if something pulls or pops. Stretching is one thing, but if you hear something pop, that's a very bad sign.
You should stop exercising if you feel intense pain. This means you're doing too much or doing it wrong.
You should stop exercising if you can't breathe. If you vomit, this is a real red flag.
You should stop exercising if you get dizzy or your heart is hammering. Walk a bit, unless you are too dizzy in which case, sit and rest.
You should stop exercising if you're crippled the next day. Soak in a bath and rest.
You should stop exercising if you pulled a muscle or broke a bone. This is really time to put things on hold for awhile.