Ok, for all you newbies to Byetta or an Insulin pen, Im going to pass on what I've learned from experience.
1st, for needles, I use BD 30g ultrafine III mini pen needles. I don't think you can find a thinner needle and they are really painless. Remember, the higher the "g" number the thinner the needle.
After you get your Byetta Pen fitted with the needle and you've turned the knob and are ready to inject, go find a spot where you want to inject and pinch up some skin. Set the needle point on the skin holding the pen between your thumb and forefinger, almost like you'd use a pencil. Now you have to find what I call the "non ouchie spot". What you do is set the point of the needle against your skin repeatedly until you find the spot where it doesn't really "prick". When you find that spot, then just put a little pressure against the needle still holding it like a pencil and it will slide right in, usually without any pain.
Once the needle is "in", you can change your grip on the pen to resemble what they show you in the brochure. Thats kinda like holding a ball point pen and clicking the top to get the point to come out. The Byetta pen will usually click 3 times if you push it slowly. Once you hear the last click hold it with pressure against the top button for 5 seconds before you take the needle out. You don't have to push really hard, just "some" pressure. Now, when you are finished I find that you are less likely to hurt yourself if you slide your hand down and take ahold of the pen with your thumb and fingers again to pull the needle out. It just reduces the chances of moving it around or pulling it out crookedly if you hold it this way to take the needle out.
Thats it. For the most part this delivers painless injections. Remember to take the pen, put it under your armpit and warm it up for a couple of mins before you put the needle on and inject. This reduces the chances that you will get that "burning" sensation when you inject (mostly caused by really cold Byetta).