I feel a need to elaborate here. Please, however, keep in mind that what I say really only applies to me personally, I can in no way speak for other masochists and submissives. Also, I'm trying to be brutally honest, so ask questions if there's something that you're curious about that I failed to cover.
I can enjoy pain in many forms. Pain in a sexual situation is the best, but that can be hard to define. I'm not personally fond of emotional pain in general, but there are times, such as when the pain comes along with other joy willing bought, that one must love the whole package. In the end, however, my masochism centers around physical pain, but I don't derive pleasure from all physical pain.
Different people handle pain in different ways; however, I've never been with anyone that didn't like at least a little pain under the right circumstances. Being a masochist is more a matter of degree. In some cases it can be learned, and sometimes it's instinctive.
A little side note, inspired by bol: pain is an extraordinarily bad thing with which to punish a masochist. This can come up more often than one might think, as a few of my previous vanilla lovers found out. Probably the most effective punishment on myself is to withdraw attention and approval. Punishing a masochist with pain is counter-productive, it just conditions them to associate their misbehavior with reward.