My son is now on the "maintenance" part. He is 12, though, so probably handled the whole thing better than a younger child.
But know this: the needles are very small. Smaller than for all the vaccines, etc. So it really isn't as painful as you might think. My son gets 2 shots each time (one in each arm) as the allergen serums are divided into the ones he is most and least reactive to. We did the first part fast... he went twice a week all this past summer. Now he only goes once a week. This will continue for probably a year... then every 2 weeks for a while... then once a month. Total treatment time... somewhere around 2 years. Our doctor says that if they begin treatment when they are young (prior to adolescence really) that they won't need the treatments as long. If you wait until you are an adult it can take 4-5 years instead of 2.
It has helped a lot. We opted to start treatment for our son (and he agreed) when he had an asthma attack earlier this year, after having recovered 3 months prior from pneumonia. It just seemed like it would be an added level of "protection". Plus, the overflow of used tissues in the floorboard of my car was BEYOND ridiculous... and he wasn't sleeping well at night, even taking OTC meds (like Claritin and Zyrtec) due to the congestion.
Oh, and most Dr's office that do this for kids, will provide some form of "entertainment" in the waiting room for the kids... (they have to stay for about a half hour after the injections to watch for reactions). Ours has an Xbox & a Playstation and games in a smaller side room (off to the side of the "regular" waiting room) with gaming chairs and little flat screens on the wall. My son LOVES going to his allergy appts, b/c he & his sister get to play DonkeyKong while he's there.