Pain in the eye (that is not due to injury) may be described as a burning, throbbing, aching, or stabbing sensation in or around the eye.
(source
http://www.healthcentral.com/ency/408/003032.html)
Common Causes of this type of Pain Include
eye Infection (you'll need to see a doctor if this is the case)
Sinus Problems
Migraines
Contact Lense Related Problems
A Stye (which a bump growing under the eyelid) since it hurts when you blink, i think this one is most likely. redness on the skin of around your eyelid could also be a symptom of this (source
http://www.healthcentral.com/ency/408/001009.html)
A rare strain of Glaucoma can also cause intense pain, (if your peripheral vision is just fine, it probably isn't this)
Anyway, I've also got a bunch of home remedy bumps to take care of I'll ness with out consulting a doctor.
Anyway, if you can describe the type of pain you are having I can more effectively search for a remedy, but most of the things I can think of at the time may require a visit to a professional