If you find that sex is hurting your penis, you may have either of these conditions.

Phimosis is a condition of the penis where the foreskin cannot be retracted far enough to expose the entire glans, or head of the penis.
There are two main types of phimosis: Infant Phimosis is the normal adhesion of the foreskin to the glans at birth, which occasionally continues into adulthood. Adult Acquired Phimosis is when a narrow and tough band of skin forms near the end of the foreskin, effectively narrowing the opening too much for the glans to escape.
Many people suggest circumcision as the best cure for phimosis. Many others suggest a regime of stretching the foreskin, with or without the use of betamethasone 0.05%.

Frenulum Breve
Frenulum Breve is a condition of the penis where the frenulum (the thin piece of tissue attaching the foreskin to the glans) is too short as to allow full retraction.
This can be anything from slightly annoying to extremely nasty and hazardous. If the frenulum is short enough, it can tear during intercourse, resulting in bleeding which can be dangerous.
One way to determine if frenulum breve is your problem is to retract your foreskin while your penis is flaccid and see if it bends sharply downwards.
It is possible to cure frenulum breve only by cutting the frenulum, to the best of my knowledge.

atesh reminds me to note that these conditions can only be found in uncircumcised men. I thought it was self-evident, but *shrug* I like to make the corrections and inclusions people ask for.