There have been a lot of different threads on this and IMO it all really depends on your own sensitivity and tolerance.
I have not used the syringe, but the pens are fine...sure they burn, but for a very short time....I do let the pens get to room temp and I ice the injection sites before and right after.
For me the thighs were the least painful shots and other than the immediate burn there was no after effect. When I get a shot in the stomach I am sore in the muscles for a day of two.
We all have to find what works for us and then stick with it.