Why is penetration always painful even when I'm having strong urges for sex? Personal lubrication doesn't help.

How old are you? How many times have you had sex, over what period of time? Where is the pain exactly? One partner or more? Any other pain, such as when urinating?

We can't possibly list all the possible reasons, but can try to narrow it down.

I agree with Joypulv... there are some reasons but we need to know an age to know which ones apply in your situation.