Just pinch yourself on the arm when you get the shot. Your brain can only concentrate on pain in one area at a time (or so the theory goes) and it will be concentrating on the pinch, since it KNOWS it is coming, and you won't even feel the shot.

Sound weird ... but it really does work very well. I do this everytime I have to get a shot at the dentist (shots in the gums .... OUCH!) and it does work!!