I think this topic is very interesting, because I just got a shot today!
I think it is also important to state whether you are using it under a doctor's care or not. I knew girls that obtained it through a doctor, but the doctor did not maintain or even follow up with them. I have used it before, but always very strictly under a doctor's care. This is also mainly due to the fact that I cannot take oral pain killers (like Tylenol or Motrin) because of a pre-existing medical problem. So the shot is better healthwise for me personally than taking it by mouth - but that is not for everyone either, and it was a major decision made by my parents, myself and my doctors. I have learned to suck up most of the pain, but when it gets bad enough that most other people would have downed a bottle of tylenol, I go in and get a shot. Mind you, this happens maybe twice a year - so it is not often enough for a serious healthrisk due to the steriod use. I got my first shot when I was 11 years old ... and most recently today, for my knee.
And unlike the scene in Make It or Break It, the shot is not as easily given as they make it out to be. Girls usually do not give it to themselves, at least not if it is a mix provided by a doctor.