Yes, you absolutely should go see your doctor
immediately! This could be a serious eye emergency, and you should be evaluated quickly.
Common causes of eye pain like this include a scratch or other injury
to the cornea. This is the clear layer covering the very front of the eye. When it is scratched, it is very painful, and it could be red or you could have blurry vision. If you may have injured the eye, you should avoid rubbing it and place a patch over it until you can be see by the doctor. Similarly, an infection of eye, such as conjunctivitis, would produce similar symptoms and might need treatment to clear up.
Other causes of eye pain can include acute glaucoma, which occurs when the pressure inside the eye suddenly climbs. This can be damaging to the eyesight, and symptoms include severe eye pain as well as hazy vision. Acute uveitis or iritis are other inflammatory conditions of the eye, which also need to be identified and treated quickly.
In short, the only way to tell what is going on is to go see your eye doctor
right away. If you can't get in you should go to the emergency room for evaluation.