I've had enough cortisone shot in me to float a boat. I had problems with my feet for years, and had shots in the heel hoping to avoid the surgery. Finally had the surgery.
I have had shots in my shoulders, both of them, for the past 15 years or so. They work. I get one now about every year.
The most painful shot of any kind I've ever had was a cortisone shot in my thumb. The doctor advised a surgical procedure that would eliminate the pain I was having, but said we should try a shot first as they sometimes helped. I told him later, that if I could have felt like smacking the chit out of him during the shot, I would have. The shot hurt me a hundred more than the pain the thumb was giving me, and to top it all off, the shot only lasted about 6 weeks, after which I went ahead and had the surgery.
In short, the shots in the shoulder are the only ones I've had that seemed to last any length of time.
