It can happen at the most unexpected time. It happens with no warning. It can derail you if you don’t handle it correct. I am speaking of training injuries.
Imagine for a moment that you are in the middle of a squat and you feel a twinge in your lower back. It is not extremely painful, but it is more than a normal twinge. How you handle this moment is going to determine how your training goes for the next few weeks. If you try to work through the pain you are likely to miss alot of training time due to a major injury to your back. However, if you listen to your body and rack the weight and stop the workout, you will salvage alot of potential lost time.
Make sure that you take the smart route. If you feel something completely out of the ordinary, stop your workout and don’t continue until you’ve confirmed the severity of the problem. You could be wrong and it could be something minor, but that would be preferred to a major problem that you ignore. You won’t ever be sorry you stopped a workout at this point, but if you train through an injury you could very well be wishing you hadn’t.
I’ve done it both ways. My preference is to stop and let my body heal. It works best every time.