It has to do with lactic acid buildup. You see when your legs aren't strong enough and your body doens't have the energy to clear away the lactic acid buildup, your legs start to burn. Lactic acid is what causes muscle fatigue. The more endurance you build and the more leg strength you build the less pain you will feel. Most people who run competitively understand this (800 anyone?). I would say you could build up leg strength in your quads with exercise machines etc. but in truth its more fun to just go ride.