What are some good exercises, or exercise machines that won't hurt your joints?

Well, recently I’ve got this idea that every exercise or exercise machine will or CAN have some sort of horrible con to it. For example, jogging and running can hurt the knees. The elliptical, if not used properly, apparently can also hurt the knees. I’ve also heard that skipping rope puts direct contact onto the knees, hips and ankles, and is hard on the knees if not done properly as well. The rower machine can strain your back if not done properly.

Well, I guess I’m also just afraid that I don’t do it properly. Recently, it feels as if my knees have been exhausted. They have a burning sensation after working out. I jogged today… but then I stopped because my knees felt odd. So then I went on the elliptical.. my knees still felt odd, so then I tried skipping rope. It was good at first, but then my knees and everything below started feeling all exhausted as well.

What should I do? Should I change up my routine or what? Every time I start up exercising again, I’m afraid that my knees will give out either now or in the future. Am I being over paranoid, or do I just need a rest? Are there any other good exercises that won’t hurt me some way and is easy to do properly?

All comments appreciated!