There are two kinds of stresses: eustress and distress. Your body needs stress to get stronger and better. Even to exist, you need some stress. But you must be able to adapt to the stress. If you don’t allow the body to adapt, you’ll be in distress. So, you have to stress yourself and then give your body time to adapt.
Exercise involves two kinds of pain: the pain from the build up of lactic acid and other physiological phenomena during the exercise and the pain after an exercise due to microscopic muscle tears. When I do weights, I do two sets of 12 reps for the upper body and two sets of 15 reps for the lower body and core muscles. I do them slowly, with a rest of two seconds between the eccentric and concentric portions and 30 seconds between sets. I really feel the burn towards the end of each set. It is not exactly pain. It’s a burning sensation which makes me feel like “biting the bullet.” If I did them faster, I could do them without the burn, but I don’t think that is as beneficial. I see people arching their backs, exerting all their might, and lifting themselves off the chair in order to impress someone with their ability to do so much weight. But that’s not the correct way.
After you exercise more than you are accustomed to, you will feel soreness the next day. That’s due to minuscule tears of muscles. You should then rest until the pain is gone. These are examples of eustress. If you exercise again before the soreness is gone, you may encounter distress (the failure to adapt).
To get cardiovascular benefits, you have to get your heart rate up. This means doing more than walking, which only mildly elevates your pulse. You should get your heart rate up to at least 70% of maximum for at least 20-30 minutes. The usual way to compute your maximum HR is 220 minus your age, but for a fit individual, that doesn’t work. For example, I’m 73, but can get my HR up into the 160s on a treadmill. Weight lifting also elevates your HR, but not to the extent of running. If you have never run before, I recommend going out, run until you feel tired, and when sufficiently recovered, run again for a total of 20 minutes. But don’t run fast at first. Many people give up running because they go out and run as hard as they can. They cannot run very far then and it is not fun. So, they give up. After you are able to do the whole 20 minutes at a slow run, then you can think of either increasing the time or pace.
But, as DrCube said, running isn’t for everybody. Many sports, such as basketball, tennis, football, rugby, and other forms of exercise, such as swimming and biking, also give you benefits. I can play tennis for a lot longer than I can run because I enjoy it more; also there are rest breaks in most sports that you don’t have when you go for a run. In some ways, tennis is better for you than running because it involves lateral movements, arm motions, and more core involvement. Cross country skiing is supposed to be the best exercise.