Yeah, that just sounds like irritation. First of all, make sure the lube you are using is water based, and has no scents or flavors or sensations or anything weird. Also, if you use condoms, make sure they don't have lube or spermicide or anything. And reapply lube every few minutes (this doesn't have to be so clinical, you can make it fun!) Be really on top of your lube... and see if that helps.
By the way, you should always urinate after sex! Helps avoid infection.
Do you masturbate at all? If you do, if you insert your own fingers (lubricated) or a toy into your vagina, does that hurt? Or is it only during sex? The reason I'm asking is because a small percentage of women are allergic to semen.
It sounds like an irritation to something during sex, because of dryness or some kind of allergy. But if you rule those out and don't think that's the cause, you should see a doctor to make sure there isn't some underlying problem.