The short answer is no. No, they're not supposed to hurt. Because when they hurt, your brain will register the pain before it registers - let alone deals with - anything you're asking it to do, so there's no way you're going to progress because you're too busy dealing with the pain in your feet to trust them to do anything you might be asking them to do. It's a total no win situation. Yes, there is often a bit of discomfort when you break in a brand new pair of boots but it should soon go.
Boot fitting is a minefield, especially if you don't have a decent skate shop and/or fitter near you. I am 200 miles away from the nearest place and had to rely on my own years of experience and the advice of some even more experienced friends who knew of boot developments that had taken place while I wasn't skating.
In order to help you, we need to know a lot more about you, ie your weight and style of skating, and shape of your foot and any other things that may need to be taken into consideration. The different brands of boots vary a lot. Some are better for wider feet, some for narrower. Some may well surprise you in those respects. Price doesn't always signify the right stiffness or even quality. Give us some more info, and we'll try to help.
