When I was giving myself allergy shots, I learned that if you stick it in the perfect spot, there is no pain at all, not even a tiny prick as the needle enters. Stick it in the wrong place, a nerve center, and no matter how nicely you insert it, it will be painful and hurt long after the needle has been removed.I believe the person giving the shot makes a difference too.
I hated shots at the place I used to go, it felt like they just punched that needle in.
I have had shots at the place I go now and the pain was very minimal in comparison.