I was a little stiff after the first 2 shots in each side, but it's all good now. You get used to it.
It's got a lot to do with technique. I've had shots by 4 different doctors / nurses in the last 2 months, and each one has been slightly different.
One guy is way too fast and I'm usually stiff the next day - but that was also standing and in a new site. He also said to wiggle my toes on that leg... bad move. Same again with no wiggle? Much, much better.
Last shot was by a new doctor, and she sucked. Got too close to a nerve or something. It hurt a fair bit going in, and my muscle involuntarily contracted (like a flinch). Luckily, its the side I normally use so it didn't get overly sore the next day.
The most irritating thing about injections is the inconvenience of having to see a doctor every 2 weeks (no self injecting over here).