Why do I need a filling?

I've always assumed that patients understand why we recommend fillings until a friend in nursing tells me, "they always say I need fillings even though nothing was hurting".

The answer is because of the structure of the tooth. If you look at the layers, from the outermost there's the enamel, then dentin followed by pulp.
1. Enamel: is mostly composed of mainly inorganic material and has no nerve innervation (so it has no feeling). Cavity starts in the enamel and progress to the deeper layer if left long enough.
2. Dentin: have some sensation because it is connected to the nerve in the pulp by tubules (there's no nerve here but it is connected to nerves in the pulp by some complex mechanism). The closer you are to the pulp the more sensitive it gets. If cavity is shallow and barely into dentin, you may not feel much. The closer it gets to the pulp the more pain and sensitivity you will feel.
3. Pulp: where blood supply and nerve is. It supplies some nutrient to the tooth.

On your exam with the dentist, we try to catch cavities that are still within enamel and dentin by radiographs (X-rays) and tactile sensation (that's the poking most people love). A cavity has to progress to a certain degree before it will show up on the x-rays. X-rays are also the only way for us to see between the teeth. If we do not catch cavities early, when it does reach the pulp, that's when we recommend a root canal or sometimes extraction but that's a topic for another day.

It's actually not a good thing to wait until it hurts to go see a dentist! When it starts to hurt it's usually too late! So try to visit your dentist at least once a year.