An indication of infection - quite possibly the start of an abscess - needs checking out because it can become very painful and untreated the infection can spread to your blood.
Oh, you should get to a dentist right away; I don't think it would be over-reacting to consider it urgent. You may have an abscess, which could become a serious problem left untreated.
This sounds like an abscess. These can be very painful and you could be in danger of losing your tooth. It would be a good idea to visit your dentist ASAP.
What causes this depends on how long it is since the tooth was removed.
Sometimes the dentist leaves behind a small piece of the tooth enamel. This will slowly work its way out, and will be felt...