To add on to this thread, you can also completely destroy your muscle tissue to the point where you can bring on kidney failure, a condition called rhabdomyolysis.
An example scenario for this rare condition is that of an otherwise young, fit person (let's say a construction worker) decides that he is going to start going to his girlfriend's spin class. Being 26 years old and bulletproof, he jumps right in and kills it on the bike for 60 minutes on the first day. Then does it again two days later, even though he might be just a little sore from the first time. He doesn't want to look like a wuss after all! This causes catastrophic breakdown of skeletal muscle tissue and a couple days later he is vomiting and peeing blood, a rhabdo victim.
The problem is that cycling is an almost 100% concentric contraction movement, which does not cause soreness (as much as it would if the action were 50/50 eccentric and concentric like most other exercises). While one leg pushes down on the pedal, it gives a "free ride" to the other leg, which would normally be in an eccentric contraction mode (while walking or running).
Squats, by contrast, load the muscles tremendously during the eccentric phase (slow descent) which is why squats cause DOMS for people who don't do them frequently enough. Want bad soreness? Squat once a week. Want to get rid of squat soreness? Squat 3x per week. Want the worst soreness? Take 2 weeks off and then do a squat workout with the same weight as your last workout . . .
So yeah, you don't need to be sore to get fit or strong. The more eccentric contractions you do that you *aren't conditioned to*, the more sore you will be. People mistake soreness for "a good workout" and that is wrong. If you want to hurt, fine, just get someone to hit you with a stick. Hurting and training aren't the same thing. A well-designed program will let you train, recover, and rebuild before the next stress is applied.