i had one about 9 years ago. the injection was just the same as any other injection, it hurt a little while it was being done and was done in the surgeons consulting room while i was awake. however, my leg ached all the way down for about a day afterwards.
i also had a cortisone injection into the joint itself under general anaesthetic at a later date, as a means of diagnosis.
i went on to have a hip replacement.
I had an injection in my elbow earlier this year as I had really bad tennis elbow. Im usually ok with needles but the doc kept moving the needle around the bone until he hit the right spot, and he knew when he had as I nearly jumped out the chair. It still hurts after about 4 months and I still have the mark of the needle.