I feel my experience with knee pain is growing by the day. Many women I work (out) with end up having knee pain at one time or another. So how do you avoid knee pain?
I am not sure I can answer that here, but I can offer up some preventative advice.
First of all, if you decide you want to start an exercise program, you need to start slow and build. You also need to consider that all of your muscles from your heart to your anterior tibialis need to strengthen together.
Therefore, strengthening is a really good idea.
Let’s take an example of IT Band Syndrome. 
If you go out and just start running without also strengthening your major mover muscles (hamstrings and quadriceps), you put a lot of tension on your supporting ligaments and tendons. Your IT Band helps keep your knee in alignment. When your muscles are not strong enough to support your activity of choice, it puts tremendous strain on those muscles supporting structure.
What to do? BEFORE this flares up, strengthen your hamstrings, quadriceps and gluteus medius. Check out these exercises posted by my friend and team mate Murray Maitland. He has PHD in Physical Therapy and hosted a talk for our Goddess Half Marathon training group. These are great, sport specific exercises for runners.
Other issues for women in particular are Patellar Tendonitis and Anterior Tibial Tendonitis (shin splints).
What I think is most interesting is that running gets a bad rap about being injurious. In fact, according to recent studies, it has no higher incident of injury than any other athletic activity. I found this very hilarious article that talks about how the body adjusts to running.
The Key? Plan your strategy, be sure you are taking care of your whole self. Make sure you have the right equipment (i.e. good running shoes for runners, a properly fitted bike for cyclists, etc.) Start slowly and build, and strengthen the muscles you are calling upon to do most of the work.
