Hi C.,
I have A- and needed an Rh shot for both my pregnancies - fathers were A+ for both children. I don't know that it's all that common, but it's nothing to worry about in my experience. I experienced no side-effects, and it's not a dangerous thing - in fact, it's a safety precaution.
The reason you need it is that your blood and the baby's may be incompatible. The antigens and antibodies from your blood would actually see the baby as an invader and you could start attacking the baby if there's mixing due to rupture of the uterus or other problems that are rare that could cause bleeding and mixing. If your blood mixes and it is incompatible, it could be devastating for you and/or the baby. The shot is to ensure that if that happens that both of you are safe.
It's a quick shot in the behind. ;-) I never worried much about it because it's precautionary; it rarely elevates into a problem, so the shot really is a "better safe than sorry" measure.
I've never heard of any ill effects for you or the baby, so relax and don't worry. It's a good thing to do for you and the baby. They should give you a card with info about the shot on it like lot # which is apparently important(like an immunization) after the shot. Keep it with you. The shot is usually good for about 12 weeks (which is why they give it around 28 weeks, so it lasts through the rest of the pregnancy).
L.