There are two types of sore: good and bad. A bad sore is the feeling you get when you've seriously injured yourself and it hurts to move. Its a lot different than a good sore which comes after a hard workout. You can still move, but you do feel some discomfort.
If you have a bad kind of sore, you need to rest until it feels better and possibly even see a doctor if the pain lasts for more than a few days.
When you workout hard, whether cardio or weight lifting, you create small tears in the muscle. When you rest, your body repairs these tiny tears and makes your muscles stronger. It is now thought that these tiny tears rather than lactic acid buildup is what causes muscle soreness which is also known as Delayed Onset Muscle Soreness (DOMS).
You don't have to get sore to know you're having a good workout but if you do, you know your muscles are responding to your routine.