[Vandal]

Building muscle means working to failure, which is where the "no pain, no gain" thing should come from. Some recent studies indicate that you can get as much out of a one-set routine as a three- or four-set routine if you work to failure. You also must know your body well enough to know the difference between muscle failure and ripping tendons and ligimants.
An added benefit of adding muscle, I'm not talking Arnold here, is that it takes more calories to maintain, therefore it increases your metabolism and helps you lose extra fat. Exercise not only burns calories while you are doing it but also for a period afterward because it increases your metabolism.