I've never been on insulin, thank goodness, but I have taken Byetta, Victoza and Bydureon -- all of which are injected.
The Byetta and Victoza weren't bad to inject. The pens took the short needles and it was a simple matter to just zap the needle in, do the shot and go on.
The Bydureon was bad. The needles were so much longer, and no matter what I did, I always got these huge bumps under my skin where the medication went in. Hated that stuff. It was only once a week, thank goodness. But I couldn't stay on it long. The nausea was too severe.