In reply to The Big Man:
It could be worth talking to Feet First in Chesterfield about that. A few years ago they stretched a pair of mine that were too narrow for the princely sum of three quid. :O) There are also sprays you can get that 'ease' the leather and make it more likely to stretch. (Don't suppose they have any effect on synthetics though.)
I have a feeling that professional stretching machines are designed to stretch the width more than the length though, not sure.
I don't know if I have unusually long big toes, or if I'm unusually intolerant of having that big-toe knuckle bent, but I always find new shoes hurt my big toe the way the OP describes. If I buy shoes big enough that they don't compress my big toe at all they're *way* too sloppy everywhere else.
I've tried all the tricks recommended so far, but always ended up just having to endure until the shoes (or my feet) break in.
My last pair I think I really did buy too small though. Ow! Ow! OW!
After weeks of wearing the shoes for five minutes and giving up, I decided I'm just too big a wuss to endure that much, so I used a lump of beech and some bits and bobs from by shed to make something medieval and bring the pain back to the shoes. ;O)
http://www.deepsoup.f2s.com/UKC/shoestretch.jpg
They're specifically modelled on my feet (with a slightly exaggerated big toe). It took flippin ages to get them right, but totally worth it. Put them in the shoe, then use the spanner to crank out the length until the shoes beg for mercy!