It depends.
I mean yeah, when I know I'm going to get a shot, I do freak out a little. It was worse when I was younger because I would cry and they had to hold me down just to get it down. Now, I just face it and remind myself, "It's better to get it over with now because at least afterwards it won't happen for a while".
Usually, when I do get a shot I bring my Inuyasha plush and I squeeze him really tight in my other hand, while looking away from the shot. They always say that it hurts less and helps reduce the fear when you look away from getting your shot.
Any other time, I get paranoid when I feel that I might get a shot in my mouth when I'm at the dentist. That's why I prefer having the cotton swab with an unknown numbing agent then having a needle go into my mouth.
Also, I get paranoid when I'm getting a shot I never got during childhood, you know like booster shots or if I'm not getting bloodwork. My mom wants me to get that shot that helps you prevent from getting cervical cancer and the reason is because my mom had it while she had me, or did but I guess she found out in its early stages and was able to get it under control. (She calls me her miracle baby because they told her she would never have kids, and yet here I am today. :P)
I hate it when they are like, "This won't hurt a bit." I mean, dude, of course its going to hurt. They may THINK it makes you feel alot better but it doesnt, especially when your like, "Okay, it won't its fii---AHHHH. *sobcrywailsobsobsobwimpy*" D: They could at least say, "You may feel a tiny pinch." Because at least you'll be prepared to feel a slight prick, right? As long as they aren't all, "OMIGAWD SORRY BUT THIS WILL HURT MORE THAN ITS EVER HURTED ME." Just as long as they gave you a bit of a warning before actually just jabbing you.