I want to second this. I had my first shot yesterday (Pfizer), and I put it off a little while because I don't like needles at all. The guy started off talking about the various potential side effects and in the middle of the speech he did the injection. It took literally less than 5 seconds. I felt it, but only briefly, and it really wasn't all that intense. A full 24 hours later now, and the only thing that's happened to me is that my arm aches a bit. I wouldn't even say it hurts. Just a bit tender when I move it. The needle is so small I can't even find the spot on my arm where he pricked me at visually.
If you're afraid of needles, I completely understand, but this one really was a breeze. I'm not saying I'm looking forward to the follow up at all, but I certainly won't be so wound up about it the next time around.