Generally, massage therapy is a very pleasant experience. You may experience some discomfort as tight muscles release or acupressure points are worked, but it should not be painful in a bad way. In the case that the therapist is using a highly sensational technique they will let you know and work within your comfort levels.
It is of great benefit to the therapist to let them know if you are experiencing discomfort – anywhere from the massage technique to the music being played to the room temperature. The therapist wants you to have an enjoyable and healing massage.