If like most people you do not have a huge amount of spare time on your hands making the most of the time you do have is important, this applies to working out too. All the exercises you do should have a clear purpose and part of that purpose should be about minimising harm.
We are all a bit different, the work we do, new and old injuries, joint conditions, congenital deformities and the way stress affects us can make exercises that are easy for others hard for you to do. Sharp pain is a definite warning to back off any particular exercise.
The look you want to achieve and what we specifically need or want to do well is an important consideration, as is your muscle type. Some people get bigger muscles than others using the same exercises and this applies to stretching and cardio too.
Squats for instance can give you increased thigh strength, if you lift or are naturally a bit week in your thighs squats become more important to your needs. Squats generally help you lift things better, even if is just your own backside getting on or off chairs which becomes increasingly harder for many as they age or put on weight. Squatting down too far (past 90 degree knee flexion), can damage your knees, the greatest value of squats is supporting postural strength. Squatting with your knees bent more acutely than 90 degrees is a common exercise hazard many fall into.
The pressure inside your knees increases greatly when you fully flex your knees under your own body weight and much more so under extra load (pushing against a weight). Squats are safer if your knees are good.
If you have had a knee replacement full squats simply are not possible. It is fine to do full knee bends when you are not weight bearing as with leg stretches but under load it is a different story.
Another exercise that has a high risk factor is the shoulder press, if you are a footballer needing to reinforce your collarbones for front on tackling, shoulder press (and other exercises with similar actions) can help protect your upper body.
The trouble with shoulder press type exercises is that a)- any history of neck trauma like from a whiplash injury from a road accident can create a weakspot that might give way under stress. b) shoulders do not work efficiently when your hands are supporting weight above the height of your shoulders or behind the centre line of your body and c) Some of the muscles in shoulder press such as your upper trapezius and supraspinatus are always working against gravity anyway and are more likely to need stretching.
It is ok to workout hard but workout smart too.