Started Avonex 2 years ago. Full dose.

Put me in the flu like side effects and spiked a pretty good fever. I would definitely go up in dosage gradually if I did it again. (But part of that was I hadn't done any interferons in about a year).
I was on Rebif when I was first diagnosed. I like Avonex much better. Thinner gauge needle = less pain. And only once a week.
Get some ibuprofen in you prior to the shot.