I have had both good and bad experiences with allergy shots.
1st time : Went to an ENT, he started me out on allergy shots on the highest possible dose first....made me deathly ill plus swelling at the injection site. So he cut it with a little saline. Ended up with pre-ulcerative corneal abrasions. I was out most of my senior year due to these shots. They were monthly. I had chronitic bronchitis for 5 months straight. Also had strep 6 times in a year, which made my tonsils have craters and tonsil stones. Stopped those suckers.
2nd time : Went to an actual allergist. Started me on Xolair first. It is a GODSEND!!!!! It is an immune system suppressant so that your body can tolerate the allergy shots. Haven't had strep since. *knock on wood* Did those for about 3 months then started my allergy shots. Lowest possible dose and gradually building up. They make me a little stuffy and lethargic but nothing too bad.
PS On my allergy scratch test, I am allergic to 47 out of 48 things and they are mostly outdoor allergens.