First off, I have to say I agree with your Dr. about trying other things first. I dealt with almost two years of pain and every possible treatment for pain BEFORE deciding to have surgery for a sequestered disc problem.

In a period of 8 months I had three injections. For me I found them to be painless. The only thing that gave me a little "ouch" was the numbing medication injection. I had wonderful relief from the first two and the third one didn't do much for me. I then went on to have selective nerve root blocks - which is something COMPLETELY different from an epidural steroid injection. (and i thought the nerve root injections were painful- but then again I refused sedation!)

The only side effect I had from the epidural is a headache later that day. Which is very common. But the headache was well worth the couple of months of relief. Remember it can take up to a week for the injection to kick in, mine usually took 5-6 days.
Again, everyone is different and has different pain thresholds... The last epidural I got, the Dr. missed a spot with the numbing meds- and i felt a bit of a jab, and he immediately stopped and gave re-numbed part of the area.

Make sure you are comfortable with the Dr. you are seeing, if they don't fully answer your questions, then find someone else if possible. When dealing with your back health, I think it is SO important to find a Dr. that is right for you.
Good for you that you ahve a Dr. that wants to try other otions before rushing you off to surgery. I think surgery should be a last resort.

Good luck!
Treesgirl