1) The serum, I will call it, is thicker than thick. It has a viscosity of like molasses. That being said it takes some pressure to do the injection. The needles the pharmacy gave me to use were massive... my suggestion would be to ask your Dr. for smaller needles so you don't have to use the ones they give you.
2) The injection will leave a huge knot. Similar to a tetanus or flu shot. Rubbing it right afterwards will help, I was told to ice by some people and not to by others because that just makes it slower. I don't know how to help you here because it seems like it'll exist no matter what.
3) The injection site will burn a few hours later. I do mine around 5pm... and when I lay down to go to sleep 4-5 hours later, if I lay on that side, I feel a burning from the injection site up my back. Not pleasant. It usually it only that first night, but when you are limited to sleeping on your sides and one of the sides feels like that, sleeping is difficult.
4) Itchy!! About a week after the shot, the injection site becomes really, really itchy. And will form a rash if you itch it too much. So on Tuesdays I have one itchy side and one painful side. Not cool.
5) Constipation... I am not sure if this is due to the pregnancy or the shots but my goodness is this not fun. I drink a lot of water, take my vitamins, eat all the fiber and vegetables, exercise and I still feel like a bloated blob that can't poop. Irritating.
6) Backne. Again... not sure if this is the hormones or the pregnancy... but my back, only my back, not my face, is completely broken out. I am trying every wash and scrub out there and it is still embarrassingly bad. At first I was wearing tops at the gym to hide it, but at this point I am done being ashamed of anything that has to do with this pregnancy so oh well. I never had this in middle school so I guess it's my time!
7) These are common... so many people I know have either used the progesterone gel or the injections at some point in their pregnancy, if not the whole thing. If the end goal is a healthy baby, then the itchy, burning, inconvenience of a shot is definitely worth it. :)