There are a few common culprits. The most obvious is a lack of lubrication. Many women rush into sex, and if your vagina isn't "wet," friction can rub you raw, so to speak. So be sure you're getting plenty of pre-play before doing the deed. Since our natural lubrication can come and go no matter how aroused we are, also be sure to use lube to ease penetration. Just remember, you want to use products that are vagina-friendly, and only water-based lube is compatible with latex.
Certain medications--whether for allergies, birth control or something else--can cause your vagina to be drier than your norm. To troubleshoot, talk with your doctor about changing meds.
Some women use products like spray or douches that can lead to a burning feeling. And, since your vagina is self-cleaning, these products aren't necessary, and can do more harm than good.
If you're allergic to latex and you use condoms, give polyurethane a try. And, to rule out an allergy to nonoxynol-9 (a main ingredient in spermicidal jelly, foam, gel and vaginal film, as well as found on spermicidally-lubricated condoms in smaller amounts), take a break from any of these products by finding another option and see if it makes a difference.
If you've been having unprotected sex, there's also a slight chance your delicate vaginal tissue may be having an allergic response to your man's semen. Using a condom can test this theory.
If you've considered all of the above, and are still experiencing pain, be sure to get checked by your OB/GYN. It may be that you're experiencing a condition your doc can diagnose, like vulvodynia and vaginitis, and he/she can provide you with ways to treat or manage the symptoms.