When it comes time to profess his love for Dulcinea del Toboso, Don Quixote decides that he must go out into a desert and torture himself. Sancho doesn't really understand why Don Quixote has to do what he does, saying, "I dare say the knights who did these penances had some reason to be mad; but what need have you to be mad too?" (22.214.171.124).
The answer, of course, is that that's what Quixote's chivalry books have told him to do. When a dude can't be with the woman he loves, he goes out into nature and suffers terrible pain. It's a good thing we modern folks have learned to just sit in a dark basement and listen to break-up songs while eating a bag of Cheddar Jalapeño Cheetos…
Sancho thinks all of this penance stuff is pretty silly, but he's quickly shushed by the Don, who tells him, "I assure thee, that all these seeming extravagancies that I must run through, are no jests: far from it, they must all be performed seriously and solemnly" (126.96.36.199). When Sancho tries to show respect, he agrees that the Don is living in a kind of love Purgatory.
But even this doesn't satisfy Don Quixote, who argues, "Dost thou only call it Purgatory, Sancho! […] call it Hell rather, or something worse" (188.8.131.52). This is a ridiculous thing to say, since Hell—by definition—is supposed to be the worst place imaginable, a place where even penance isn't possible, since there's no hope for any improvement. But hey, you can't argue with a madman.