I think suffering is a big part of God's plan. We are born wicked and become ever more devious and evil as the years go by until (and unless) God saves us. Then we are to grow not only in faith, but also in character and godliness, and this sort of growth often requires some intense suffering. C.S. Lewis said that pain is God's megaphone. I think most of us can see how pain--whether it resulted from sin or living in a sinful, fallen world--has made us stronger and more fruitful than happiness ever did.
My own theory--which I can't prove, of course--is that God often uses pre-conversion pain to break the elect and bring them to Him. I know if my own case, I suffered more than one would expect for someone who engaged in my sort of sins. I know I didn't "deserve" an easy ride to God, and I'm glad I didn't get one; I'm just saying that in my life, and in the lives of many Christians I know, it seems as if God will do what it takes to break the elect and turn them into godly Christians.
As for those of us who have been brought to God, by God's grace, I don't think we get out of suffering. For me, life is more intense as a Christian. I care more, I think and feel more deeply. I can't run to worldly philosophies or self-serving nonsense anymore, even if/when I'd very much like to. So, I think part of the "problem"--if you can call it that--is that Christians see the world for what it is, which makes our suffering all the more intense. Plus, we live in a Fallen World, so sin is going to affect us a all levels--personal, familial, local, national. Its a part of us and its a part of the world. I will say that I sometimes suspect that Christians suffer a bit more than non-Christians. All I can think of, and this sounds terribly cliche, but I do think its true, is that suffering and discomfort really do build character, as long as you let it (with God's grace and assistance, of course).
Maybe its a difference in perspective among denominations, too. I was raised Presbyterian and our prayers and the sermons I heard always emphasized how wretched mankind is and how mighty God is. Calvinists also emphasize God's ongoing, unfolding plan for us all, the plan to restore His creations to perfection. A transformation such as that is, by its very nature, going to involve a good bit of pain for everybody involved.