It depends on your area, what your state's laws are, and what's going on. For example, in New York you can get up to 10 needles without a prescription from a pharmacy but the pharmacy can deny you needles without any sort of reason. Part of this is an attempt to combat the HIV rate here (highest per capita in the US). I think it cost me something like $3 for 10 needles the last time I went. None of the pharmacies stock the size I like (23g 1 inch) so I either have to hunt down the one pharmacy that does, or get a prescription so they can stock it.

Hm. I got my needles at Wal-Mart (30 for like 3dollars)...I'm not sure if my insurance covered it or not...I'm assuming so. They are 22g x1 1/2 and come apart. No one has told me about using two different needles though...
I do it in my ass and I don't feel a thing. (har har)

I don't know if this option exists in the US, but when I was thinking about buying some smaller needles for my shots rather than using the 20g needles it comes packaged with I found that Veterinarian Supply websites sell bulk packs of needles.