Moses chose "to suffer affliction with the people of God [rather] than to enjoy the passing pleasures of sin" (Hebrews 11:25). So . . . it's true: there is pleasure in sin. We know this, and yet we don't; because who would sin if there were no pleasure in it?
Some say that when you get saved, God changes your want-to, taking away your old desires and giving you new ones instead. Unfortunately, there doesn't seem to be any Biblical support for this magical exchange, and my experience confirms that the old want-tos are still there. Of course, new ones have come - God does give us new desires.
But the old ones are still there, which is why He says in Colossians 3:5, "So kill (deaden, deprive of power) the evil desire lurking in your members [those animal impulses and all that is earthly in you that is employed in sin]: sexual vice, impurity, sensual appetites, unholy desires, and all greed and covetousness, for that is idolatry (the deifying of self and other created things instead of God)."
The problem with the pleasures of sin is that they are fleeting - temporary, passing, only for a little while. And the other problem is that they are always accompanied by pain. The pleasures of sin are counterfeit pleasures given to us by the evil one, who only comes to steal, and kill, and destroy. Therefore, the pleasures he gives are laced with pain and hide a bitter slavery.
Real pleasure comes from God. "Every good and perfect gift is from above, coming down from the Father of the heavenly lights, who does not change like shifting shadows" (James 1:17).
The pleasures the Father gives last forever. "You will show me the path of life; in Your presence is fullness of joy; at Your right hand are pleasures forevermore" (Psalm 16:11).
And pleasures from Him are pure pleasure - no pain. "The blessing of Jehovah - it maketh rich, and He addeth no grief with it" (Proverbs 10:22).