For the most part the injections do not hurt any more. The dentist numbs the area first before giving the shots. Therefore you my feel a pinch but should not really hurt you. If you are scared about just having the shot, then try these few tips.
1) Tell the dentist of your concerns about the shots.
2) Close your eyes
3) If you can listen to your music. This may take your mind off of what is going on.