Nobody likes getting injections (or "shots" as you hip Americans call them) and it is estimated that as much as 20% of the population have a fear of needles, with up to half of those having developed into a full blown phobia. Seeing as, really, they don't actually hurt that much, why are so many people bugging out about it?
Well, the answer is most likely just that: Bugs.
Back in the good old days (before we started doing absurd things like injecting ourselves with pathogens) when humans were still living in trees, one of the biggest risks to our health that we faced was being bitten or stung by the creepy crawlies who were also living in those trees.
The bites from the little critters weren't painful in themselves, in much the same way as injections, but the potential deadly effects of their venom spelt a whole load of trouble for early man and we came to identify the sensation of being bitten as a Bad Thing.
This is why getting an injection is such a deeply unpleasant experience, beyond any superficial pain you might feel. Believe it or not, there's just something not quite right about pumping a foreign substance directly into one's flesh. Who knew?