No Pain, Still Gain?

I have been working consistently for the past couple weeks with some exercise CD's that are mostly walking or aerobic routines I have picked up here and there. I enjoy them but the same one each day is kind of boring so I rotate through them to keep my exercise each day form getting too boring. I have noticed that even though I wear good shoes and am on padded carpeting my knees and ankles are sometimes a bit achy.
I have learned that one of the best reasons to consider an elliptical trainer is to avoid just such pains. When you are using ellipticals the movement of running or walking are imitated without the impact because your foot does not leave the machine as you use it. Do you exercise regularly? What are your routines like?