Yeah, you hit a blood vessel. When that happens do NOT inject. Pull out, find another site, and go at it.
I inject into my quads since they're pretty friggin' huge and there's lots of definition. I flex, feel around for the most meat, swab it with alcohol, then insert. Before I inject I always back the needle out just a little to look for blood. No blood, it goes back in and I inject.
I've hit a vessel twice and yeah, doesn't feel good at all.