I remember being horribly afraid of needles as a child. My parents could not warn me that I would be receiving an injection until I was actually at the doctor's office or I would flip out every single day until it would be time. I believe I was afraid of them all the way up until I entered middle school and had to receive all those shots one must have at that age. I went in all scared, but after actually receiving the shot I found I was scared for nothing. Some conquer this fear, others do not.
(And as Beachboy said, some have other reasons to fear needles than the actual pain...)
Personally, I hate the anxiety of knowing I'm going to get the shot more than the actual poke. I just want the nurse or doctor to hurry up and prick me, but it seems they take their sweet time.
Oh, and anyone else every experienced a nurse or doctor digging around for a vein when your giving blood? That right there is what makes me ill.