I had injections (one time in two locations) for a shoulder problem once. The shots weren't anywhere near as painful as I thought they'd be, and they relieved nearly all of the pain.

There is some evidence that cortisone can cause cartilage, bone and ligament and tendon deterioration. I assume this wouldn't happen with one treatment, but I don't know for sure.

Some Info

Some more info at Arthritis Foundation of New Zealand

Some scary information here

Advice: You have to make your own decisions based on all the info you can get. Be skeptical.