Lamentations 3:39. "Why should a living man complain, a man, about the punishment of his sins?"

Not only should we not complain when our sins are punished, but we should be grateful! If we were never punished for our sins, we would never stop doing them, and we would lose heaven.

I think one problem many have is that we often do not connect the punishment with the sin. Because God is merciful (and very subtle!), He often does not give us the punishment we would think our sins deserve at the moment we deserve them. For example, He does not usually strike down murderers on the spot nor does He usually cause thieves to be caught red-handed. Instead, we often think that we've "gotten away'" with our sin, but then we suffer in other ways, ways that we do not always directly relate to our sinfulness. In the case of the thief, he might lose his taste for whatever it is he stole, even to the point of hating the sight of it, and not realize that this is subtle punishment.

God often lets us get what we want, even when it is sinful. That is our free will. But he will also let us suffer the consequences of that sin as just punishment. If we are wise, we will connect the punishment to the sin and repent, thanking God that he has given us the opportunity to do so.