Some say, that all pain is stored in undetectable pods attached to a body. Obviously even at birth a body has to be covered all over with these pods, only waiting to be broken by the right impulse, inflicting physical damage being one of the most obvious ways. Other types of pain are less tangible, and the pods might come from various sources. The more pessimistic say, that each pleasurable experience creates a pod, only waiting to unleash its load of pain.
Other people believe that somewhere in the multiverse there has to be a well, that is the source of all pain. Seemingly opposite of the well of pleasure (Sadism and masochism are proof, that they aren't exactly opposed). It is thought that when one of the wells is destroyed, the other also ceases to be and with them all of creation (That's the whole multiverse for you), but this might be barmy doomguard screed.
No-one who has ever been asked knows, where the well of pain might be, but many have pointed to a variety of lower planar locations, that seemed convenient at that time. Many expeditions have tried to find the well, but they either didn't return or failed to find it. Obviously any expedition that didn't return might have found the well, but far more likely they have fallen prey to the hostile environment.
It is believed that direct exposure to the well might result in eternal and excruciating pain or prove to be instantly fatal to every berk exposed to it. Some greybeards think, that the spire is the well's spring and all of the planes are its source. The same goes for the well of pleasure, and Sigil is a rather convenient place to distribute all the pleasure and pain throughout the multiverse, as it is connected to every other place over time.
When it is pointed out, that the energy of all pleasure and pain in the multiverse flowing through it should make Sigil a place way more inhospitable, than it already is, they just shrug and say that it is the way it is. The multiverse isn't a place that can be explained in any mortal or known immortal tongue.
Only a few of the sages point to an ancient tale about the cage and its lady if they are asked. They don't seem to know anything about it, except that it exists and might be able to quote a line or two. Even intensive searching of the great libraries of the multiverse doesn't yield anything than a few references on crumbling pages of aeon old tomes.
There are a few theories that say, that the grand streams of pleasure and pain don't affect anyone until they reach their destination. You could stand in the middle of one, without noticing anything unusual. (In a way it makes sense in another it doesn't. That's the outer planes for you.)
In a time so long past, that not even the most ancient gods and baernoloths seem to remember it, two races where locked in a merciless genocidial war. Most likely it was based on a misunderstanding as most wars are, but it doesn't really matter either. The names of both races have been lost to the mists of time, but since they have vanished, it isn't important either.
After decades or maybe even centuries of battles between the two civilisations neither side managed to get the upper hand for any length of time. Resources on both sides where slowly draining, leading both races to lead aggressive expansion politics into neighbouring systems to gain access to these resources. Many minor races might have been crushed during the conflict. It seemed that both realms where going to reach the limit of technical capability long before the conflict ever ended, but then...
One of the two races had an idea and started to construct the ultimate soldier, a merciless killing machine without emotions. Several attempts to do so had failed on both sides again and again, because the nature of the beings themselves broke out at some point during testing or deployment.
The new attempt was even more dangerous and extreme than anything that had been tried before. This time they tried to remove the heart, the metaphysical heart, the seat of conscience and most emotions from their newly constructed monster. Using rituals and procedures taken from ancient, crumbling and nearly forgotten scrolls, they where never meant to find, they experimented for several years.
Finally they where successful and tapped into powers more alien and potent than they were even remotely able to comprehend. What really happened is something best left shrouded by the mists of ancience. The new prototype sprouted a crown of blades surrounding its head and floated through the laboratory in eerie silence.
The thing moved on and on, being carried to several planets of the enemies on the way. Each time the results where devastating, extreme and final. Their successes made the creators of this new being relax, which was a mistake. At the same time their opponents had created another type of creature to depopulate planets that where also very efficient and started to use them.
Soon both where reduced to a single space station, where they believed themselves to be save from their enemy's planet bound creations. The bladed lady, at least they had decided to call it lady, lay dormant in the station of her creators, waiting for her next call, waiting to finally end this conflict to find a release, to end the yearning filling her being.
Having dabbled with mystic energies before, they tried it again and managed to teleport their creation into the other station. The blades spread again and she floated silently through the station, shredding everything in her way to pieces. There was something about her victims, something familiar, but within her something refused to make the connection, until almost all of them had been slain.
She was one of them.
Unable to break the bonds of her magi-technical programming forced upon her being, she was forced to go on and slaughter the few remaining inhabitants. Her task finished she slowly floated over the carnage and stopped levitating to settle down. Miserably she recgonised, what she had done.
All the dead, all the world, millions of faces dancing at the edges of her vision. Agonised expression of terror, accusing gazes thrown her way, the screams of the dying, the blood flowing over the blades, returned to haunt her. Tears started to flow freely down her cheeks. Too late for regret. Too late for redemption. Too late to go back. Only sorrow remained. And eternal pain...
Pain...
Something rippled in the air around her. Tiny sparks of light popped up in the empty air, started to dance like motes. Slowly circling they surrounded her. Without any other warning, she was violently ripped through the web of space and time. She felt as though she was pressed into a form that only her small finger fit through. The space-time web was far denser and more difficult to hole at that time, then it is now, making every teleportation an extreme investment of energy and very risky business.
She returned to her home. They didn't know what to do with her, seeming deaf and blind, unable to communicate. Only the tears where still in her face. She looked over the people flitting in front of her and realised something even more horrible than she did in the other station. They where the same beings. The anatomy of these creatures was identical with that of her long time enemies.
Tears started to well again and the blades spread. For eternity they had slaughtered their kin, deserved punishment. Terrified people tried to flee, tried to do something, but there was nothing they could do filled with panic as they were. Being used to send it to battle on their site they didn't have the slightest idea, who to fight it, even though they had created the thing.
As the slaughter went on, her tears died away. Forever. She knew she was never going to cry again. Something siphoned away the last vestiges of humanity she had clung to all those years. While she completed her grisly work, something within her snapped.
She had known it would happen, in a way she always had, but that didn't make it any easier to bear or more pleasant. The heart had not been removed, only suspended, overwhelmed by a force stronger than any she could hope to battle. Anger, hatred, aggression, her vision blurred, she didn't know where she went and she didn't care. Then all was swept away and only one feeling was left in the empty hole, where a heart should have been. Only the feeling of being hurt, only...
Pain...
All of her being rebelled, protested and struggled to battle the intruder, tried to build a protective wall to shield the inner sanctum of her mind. It didn't help any. All resistance was simply swept away, one defence after another falling. Slowly, inevitably leading to her fate, then it swept through all of her. Finally she could not even contain the force and projected it into her surroundings.
The station was flooded with unleashed agony, most of those still alive cringing in pain or simply dying, because it was too much to bear. Overwhelming and unstoppable the flood of agony swept through this area of space channeled by the power of unrestrained fury.
Pain...
No,
No Way,
No Way Out.
I am Me.
No Way.
I am individual.
You are pain,
No I am not.
Wherever you go,
Please!
Pain you bring.
I can't...
Death, mindless destruction,
Don't, I have had enough...
Everywhere. Millions by your hand.
Nooooooooooooooo...
Nothing, nothing I could do,
You just didn't realise,
From Death to save me and you.
How to listen to the wise.
Discord within, should have known,
You know it is too late now,
The truth of my heart, now gone.
Damned to miss all of the show.
Pain...
The Key
To Existence
To my being
it is present
will always be
In eternity
Pain...
Blackness surrounded her, as her inner struggles ceased. She hoped that she was finally going to be embraced by the releasing oblivion of true death. Fate wasn't that friendly.
Slowly stirring. Blurred vision cleared in an agonising crawl. She was lying on the sterile floor of a space station. Carefully she picked herself up to walk the abandoned structure. Only a few lost souls had escaped her fury, but neither did they turn in her direction, nor run away in fear. Obviously she had become invisible. Permanently.
An idea formed in her mind...
I am the harbinger of pain
In eternity walk or float
In Lightening thunder and rain
Shepherd of all the helpless goat
The force of two angry titans tossed the twin stations through space, so that they met in the centre and fused into a single entity. When the terrified survivors finally shook their fear, they gathered in a single of the smaller halls, to discuss their situation. After some time a being of unidentified gender entered the room. It walked to the front of the crowd.
"The war is over", the being said. "We are all that is left of two once prod peoples. These stations, the signs of our race's folly will now become a crossroads, a trading station. A meeting place for everyone and everything as long as they behave themselves. Obviously I will not accept open warfare here.
"I need people to watch and make everything run smoothly and enforce the simple laws. When something goes badly out of hand, I will take care of affairs myself. Be warned that you will be transformed, if you agree to serve me. I don't know what the result will be, but it is going to be odd." She paused and had a sudden flash of insight.
"Like me you will be forced to float. You will not be able to speak, but project rebus riddles into the air instead. It is a choice each of you has to do freely. Of course you are free to live within this place. It is equipped to stand a siege and feed billions, and I am sure we will see trade long before these supplies run out. You are a good mix of men and woman, so you don't have to worry about dying out, as the time I mentioned might easily be several generations.
"What about you?", someone asked. "Time has lost its meaning to me. I am eternal." So it was done as it was said and soon (in planar standards) the operation started to work out and it seemed to grow ever larger and the former space station grew with it.
Some time later (again planar time), a group of beings in the Place of All Opposition (it is known as the Outlands today, the Bard) noticed the crossroads that had been created and their leaders looked at each other. That was exactly what they needed as the neutral meeting ground. Guided by the careless guardian it seemed ideal. Even the gods themselves had been denied entrance into the place, after they had ruined a part of it in a battle.
The guardian, the Lady of Pain as it had become known, had been created from the very essence of creation and would only end when all of creation ended. Those prime fools didn't have the slightest idea, how potent the powers they unleashed where, and they never would, being as dead as they are. Even the mightiest fiends could only shake their heads at such folly. Some things where not made to dabble with...
Another rupture interrupted the space-time web and this time the whole waystation was forcibly hurled through the web of reality. This time it didn't just move through the weave of the universe, no it was a journey across the planes, the first planar journey from the prime.
As these beings seized the opportunity to install the ultimate planar crossroads as neutral ground, they made planar travel from the universe of mortals possible, enabling them to enter the realms beyond themselves for the first time.
Some people believe that the Well of Pain is the Lady of Pain's heart.
I also managed to find another interesting piece of the dark about the two races. The beings from the two races where basically symmetrical bipeds with two arms and a mob of hair on their heads and lesser hair all over their body. Only one race in the multiverse has the potential for endless power and endless folly at the same time. You guessed it.
They where humans