The first one. I've never heard the second one being used. It possibly is due to the fact that when you use this phrase, you are referring to a specific objective, and nothing else. Definitely the first.

Well, we usually accept it as a set phrase and don't see the point in dissecting it. However, "pain" is an uncountable noun. "Gain" can also be treated as a concept (and therefore uncountable). Making these words countable makes me think that you mean specific examples... which then makes me think, "well, what are they?"

First one , no pain no gain , it is commonly spoken as a comment in particular to sport , weight lifting , muscle building and other extreme sports where one has to push your body to a high level .

"No pain, No gain" It is used without the "s".