I used to have a phobia of needles. Its not so much the needles, its the actual act of being stuck by them. The sensation of them piercing your skin and whatnot. Sometimes it feels like they go in too far, puncture muscles or hit bone, and thats not pleasant. It doesn't entirely hurt, but its just not pleasant.
The trick is to simply not watch when you have to get an injection. I used to be afraid of letting doctors draw blood into a vile, since you could see your blood leaving your body and swirling into the tube and into the vile. But its really just the initial pinch that you feel and then you hardly realize blood is even leaving your body.
Its the same with needles after a while. That inital pinch is pretty much it, unless they screw up, go in too far, or whatever.