I get the shot every year.
I already got mine this year and it was no problem at all. One quick little prick and it was done. No burn, no sting and no sore spot afterward. It hurts far less than a mosquito sting.
No, it does not make you sick and does not contain any living organisms. Any sickness anyone experiences is purely psychosomatic... like a placebo effect. They *think* they are supposed to get sick so they start to feel bad.