Yeah, it's best to alternate sites, and then find a different spot at the site each time, otherwise you'll end up with yucky looking thighs or buttocks.
I hate self-injecting into my butt. It doesn;t hurt at all, but I can never get the needle in straight. I'll poke it in at 90 degrees, then once it's all in, I'll relax my grip, and then the stupid thing will skew to the side, so it looks almost horizontal, and I'll find that I've missed the muscle, and just have the needle stuck in my fat. I once had to try three times in one session - hooray for me! Thigh is so much easier for me - in and out no problem - although there's a greater chance of hitting a nerve OUCH!