Just to expand on what Bernard has said; bridge pins aren't supposed to hold the string, they simply stop it coming out of the notch in the bridge-plate. Many people make the mistake of pushing (and in one shop I remember hammering) in the pins. The general rule is that if you need some sort of device to get them out, you've put them in to tight.

The correct technique to get them out is to release the string from the head of the guitar and push it further in the bridge hole. The pin should simply pull out with fingers.

If the bridge has been planed down at some time (say to lower the action rather than re-setting the neck) or the bridge-plate is wearing thin, you can get a situation where the windings of the strings protrude out of the hole. They can sometimes end up over the saddle. The solution to this is simple; just save some ball-ends from an old set of strings and thread them onto the offenders.
Ray