Here in the U.S., I've had one in a shoulder and one in each knee. The Doc is a good friend as well as the family Physician so I recieved a lot of pre-information.
The cortisone is mixed with novocain or other pain suppresor... so that accounts for a lot of the reports of immediate relief to be followed later by discomfort. Dr. said the novocain would wear off in about 2 hours. The Doc also said his limit for such injections (per site) is about 1 per six months since the cortisone can attack the connective tissue.
The one I had in a shoulder was over 10 years ago and never needed another one. One knee was the same, but the other required an additional shot in 6 months.
Only a topical pain killer was used. The needle, although fairly long, was very thin and (telling the truth) the one in the shoulder wasn't felt other than the little sting you feel at the dentist. The knee shots seemed a little more noticeable, but I think that was 'cause I was sitting there with pants down watching a needle go in about 2 inches. In actuallity, it wasn't that bad...
Best of luck!