J.T.
Like the others have said it could be many things, a clogged duct which could lead to mastitis, thrush (which causes not only nipple pain but deep breast tissue pain as well) or many many other things. I'd do some research on it by searching on the internet or talking to a health care provider and describing the type of pain and where it is just to be safe and find some relief.
I forgot to add that if it is indeed thrush that the best thing I used (and it was highly reccomended) was Gentian Violet that I found at the apothecary shop (in the tulsa area). It is over the counter and I believe it was around $7 for the bottle (cheaper than my co-pays for insurance). It is extremely messy and will stain not only clothes but your nipples and babies lips for a couple days but will get it cleared up better than anything I know in just a couple applications.