My husband takes allergy shots and has for almost 4 years now. His allergies are intense and debilitating, he had to be started at such a diluted dose he is just now getting up to the normal starting dose of most people. So far he has not seen any improvement, but we knew he wouldn't for years b/c his dose was so low to start w/ and even then he reacted to the doses. We knew going in , b/c we have a great Dr. who let us know up front the good, bad, and ugly we could expect, that best case senerio he has a 1/3 chance of drastic improvement, and 1/3 chance of slight improvement, and a 1/3 chance of no change at all. In addition to the weekly shot cost (not bad after insurance) he has a 1 hr. drive each way to get the shots once a week for 4 years so far, but for us the chance at improvement was worth it. (His eyes are always swollen and red, watering, even the skin of the whites of his eyeballs swell like a blister on his eyeballs, his sinuses are always swollen shut, his lungs are tight and painful to breath most of the year, he is refractory to all over the counter medications and most prescribed meds) It is almost impossible for him to work in his profession.
So IMHO, if your allergies are interfering w/ your life, you have nothing to loose w/ the shots, but if they are managable w/ other non serious or expensive means then by all means use those. Some who take the shots have no choice like a previous poster said it's a choice to breath or not.
If anyone does choose the shots go through an allergy specialist, and chose one that isn't shot happy, not everyone w/ allergies needs shots. I have mild airborn allergies (from dust and pollen) and would never consider taking the shots. However I have intense reactive airway to chemicals, cold air, cardio exercise, laughter, sadly no shots will help that.