Arm/shoulder pain when throwing?

I play baseball and football. When I'm playing baseball I can't even warm up without it hurting. Yesterday we were taking infield and I play first base. When the ball came to me I was supposed to tag first and throw to third. When I threw it hurt horribly and almost brought me to tears. Also When weight training for football the coaches tell me I favor the arm. They say I should get it checked out. The pain is right in the join of my arm and my shoulder. Any help with what to do. I'm thinking about going to the doctor.