I generally use the tops of my thighs for Insulatard rather than the sides (pulling the fat up and injecting at an angle so I don't hit the muscle), and I split the doses so that I don't inject more than 9 units in one place (so my 16 unit morning shot is split into two shots of 8, one in each leg). I find that large doses of insulin are far more likely to bruise or cause lumps, and over time are far more painful; even though I effectively now have twice as many background injections I now don't have any problems with pain.
I've never tried other sites, but I know some people use the sides of the bum or the upper arm.
The fingertip thing is something I can empathise with - mine are pretty sore too! I've never tried alternative sites like the toe or earlobe, I've just been sucking it up and sticking with the fingers (pun not intended!) Bernstein recommends taking fingerpricks from the back of the finger (i.e. between the nail and the first knuckle), but when I tried I couldn't get a decent blood droplet. Still, that might be worth trying; maybe I just needed to play with the depth of the lancet. If you can get that working then at least it gives you additional sites to rotate between.
Hope that's of some help; it sucks being a pin-cushion doesn't it?!