Just got my first shot of T today.
One thing though, I have IM and my doc injected in my arm, he had at my smaller dosage it was ok (I'm injecting weekly). It was just a little strange because I expected to take off my pants to get it done in my thigh or something. Anyone else has their T in the shoulder?

Also, which gauge do other folks use to inject? I want to know in case I can finally self-inject, then I would need to get some supplies.

Yep, you can inject into the delt.  I prefer the thigh personally, that way I don't have to do any weird twisting.  I draw with a 18g needle and inject with a 25g.

I too inject in the thigh and use 18 gauge to draw but use a 22 gauge to inject. It's bigger than 25 gauge.

Just with any shot in general it doesn't hurt/sore as much when it is done in the butt instead of the arm.

I inject .5 and use a 22 to draw with and then inject in the thigh with the same needle.  It is a bit thick, but I have not had any issues.  I used inch and a half for the needle length but my Dr. said that I could use one inch.  It feels better and I have not had any issues.  good luck and always make sure everything is clean and sterile.

I inject in my butt or thigh but have been considering my arm.
I used to draw with an 18 g and shoot with a 23  1.5 inch but now I draw and shoot with 22g one inch (I dont' shoot with the same needle I draw with).