There is almost no pain involved with the actual injection. The anticipation is worse than the reality. If you are using Caverject also known as alprostadil there is often some significant aching and even worse pain for up to a few hours after.
If you are using a formulated "bi-mix", it does not contain the alprostadil so there is usually no pain or discomfort. Your doctor should give you detailed instructions as to how to inject and the correct spot. If too much is used it can cause priapism (prolonged erection). That usually means a full erection that lasts more than four or five hours. Medical attention is suggested for that problem.
One possibe downside that I have experienced is plaque build up and peyronies (curved penis) during erection. I am dealing with the the plaque build up problem right now. Looking for more information.