I love injection day! I know I sound crazy, but it makes me feel soooo much better. Once I got past the loading dose and got used to it, it is not so bad. I would suggest putting it out on the counter for about 30 mins to take the edge off. Also, try to ice the area for ten minutes or so. I like legs better, but I find that harder becasue I have a lot of muscle there so it is hard to pull the skin up, but on the stomach I tend to bruse more. I would try both and see what is better for you. I also try to put on some music that I like (it kinda hypes me up so I don't think about the pain, but rather the music).
As far as side effects, after the loading dose I was really tired. Not right away, but a few hours after I injected I needed to take a long nap. Now that I am down to one pen I still get tired, but I only need to lay down for a few hours then I feel like a whole new person! I have more energy, I want to go out, etc. It's great! But remember, everyone has differnt side effects.
Good luck to you! And let us know how it goes!