I've been on the standard 40mg of Humira every other week since August 2014. The loading doses actually weren't terrible for me. Although the Humira is working, the standard dose isn't sufficient, and I'm also on 150mg of Imuran. I haven't had any noticeable side effects from either of these meds. They can take a few months to kick in.
In regards to the Humira, they offer the injection pens or the prefilled syringes. I've heard the syringes aren't as painful, as you can control the flow of the meds, but I prefer the ease of the pens. In my experience, the tops of my thighs have been the most comfortable place to inject. It also helps to let the meds warm up for about 30 minutes before injecting them. Sometimes it doesn't matter what you do, it's just going to hurt, and sometimes I barely feel it.
Having said all of that, don't be concerned with the pain. It only lasts about 10 seconds, and if your body takes to the Humira, it will be well worth 10 seconds every two weeks.