Every once in a while I get a little irritated bump or sometimes even a nice purple bruise with my injections. I think that's par for the course though.
Do you use an alcohol wipe before the injection? Do you always pinch your skin up before you stick the needle in, then slowly release your skin as you inject the insulin (this is how my doc's originally told me to do it, but I find it usually hurts more)? Do you have very much belly fat to inject into? Have you tried alternate injection sites (legs, arms)?
Or do you think you could have an allergy to the metal of the needle?
Just a few suggestions, sorry I couldn't be more help!