I think it may depend on the thickness of the needle and the location of the shot. One on your arm might hurt more than one on your wrist. Or sometimes the nurses don't locate the vein properly and have to search a little while the NEEDLE IS STILL IN YOUR ARM. Not that I'm bitter about that, or anything.
Possible immune system response or like in real estate "Location, Location, and Location" Certain body parts have more nerves cells than other which determine the degree of pain. Ex. finger tips, lips, spinal taps, biopsy of certain organs, etc. Include, any "misaligned" or "experiential knowledge"/ feelings towards needles, procedures, health practitioners and blah, blah blah. Hope this helped.