Maybe.
It'd be horrible if you could never turn it off. (but obviously, in multi-player, anyone who turns it off would have an unfair advantage.)
But it has to be done very carefully.
Pain is one thing, but actual injury is something different altogether, so whatever technology would produce this has to be made very carefully indeed.
Still, it's one aspect of being able to 'feel' a game.
Heat, cold, pressure... wetness?
There's actually a lot of sensations that games omit that can be unpleasant, but are also potentially interesting.
Smell has the obvious potential to produce horrific stench (who wants to smell the sewer level... Anyone?)
Similarly, pain, and wading through nasty goop doesn't sound too appealing, but what about swimming?
A weird example maybe, but a virtual swimming pool is incredibly boring right now, while the real thing can be quite fun.
What's the difference? Well, for the most part, various sensations that could be considered aspects of the sense of touch.
There's something about the way it feels to be immersed in water that is completely absent in a game...
But getting back to pain, it would make certain activities more interesting, but you'd probably want to be able to turn it off too.