I always find thigh injections excruciating, but then I hate having my legs touched at all, ever. So I never inject there. Can't reach to do an injection on my backside, thanks to bursitis in both shoulders (now there's an unhelpful condition to have!) and I've recently been told that injecting in the upper arm (which was my main injection site for 20ish years - oops.) is not advisable as the rate of absorption is very unreliable. So I'm left with injecting in my tummy. Handily, it's quite big so I've got plenty of space to vary the sites!
I never found ice cubes useful, as it's more of a problem under the skin than on the surface. But what I do find is that if you're tense, it'll hurt like hell. You have to force yourself to relax the part of the body you're poking, it makes it a hell of a lot easier. And don't do it too fast or too slowly - you need to find the right speed for you. Also, pinching the skin up helps a lot, which I guess is why they use a little clamp thing when you have your navel pierced.
Liberty - you do get used to it eventually, honest! After 22 years, it's such a normal part of my life that I sometimes find myself asking non-diabetics if they've done their insulin before we eat dinner. Obviously they all think I'm a mental, and they may have a point... :lol: