Since lube, arousal, STDs and latex allergies were brought up, here's other ideas:
Vaginiminus (I'm surprised nobody else brought this up. It's where your vaginal muscles clench up involuntarily and to put anything in there hurts (p***s, finger, tampon, it doesn't matter), and no amount of lube will help).
Yeast infections can cause pain, regardless of how much lubrication
Some of this could be trauma related to sex. Not that I'm saying this is what it is, because I don't know you or your history, but if you were assaulted or raped, your body could be treating any sex afterwards, consensual or otherwise, as if it was assault or rape again. I think this can also happen to those with strict religious backgrounds. These are cases that require therapy, and it would be a good idea to have a doctor check it out
Lastly, if it burns and you're not using condoms, it could be a semen allergy. It's extremely rare, but it happens.
The nothing, I don't know about that. Can't help you there. Sorry.