How effective is an allergy injection?

Very. Allergy injections (immunotherapy) can be very effective if you have tested positive for a specific allergen (eg.. Crab-grass, cats, etc.). The trade-off is daily medication for allergies (anti-histamines, nasal steroids) vs. A committment to go through immunotherapy which can take 1-2 years, but the trade off, if effective, is not needing to take medication at all.
Allergy shots. Allergy shots are very effective for pollen and stinging insect allergies. If you are getting a steroid shot once a year as a "supposed" allergy shot, that is not safe norris it effective and it is definitely not an allergy shot. Tons of side effects from steroid injections.