Shot hurts in thigh where testosterone given, is this normal?

Yes: But it's also normal for shots to be painless - it all depends upon recipient of injection. There are several areas where testosterone (or anything else for that matter) can be injected as well as areas where nothing should be injected so consider changing injection sites. Check out http://goo.Gl/hecqb3 & http://goo.Gl/iixg9i for directions. Consider icing down area (to numb it) prior to injection.