It. was. awesome.
This amazing bit of plastic is called a "ShotBlocker." It is smooth plastic on one side, and a mini "bed of nails" of plastic on the other. The stimulation from the tiny pieces of plastic confuse the skin, and prevent the body from interpreting the pain of the shot. Fantastic!
This year, for four-year-old shots at a new pediatrician, I took in the ShotBlocker we had purchased, and asked the doctor if we could use it. He said it was no problem, and shared it with his nursing staff. This time, however, I showed Little Bear how it would feel on her skin, then let her practice several times on me. By the time the nurse came with the vaccination, Little Bear was prepared to show how it worked, the nurse used it without incident, and we went home. This nurse was a little rougher than people in our previous clinic, and it was also three shots this trip, so there were a few tears (literally, a countable number of them), but no fighting, screaming, or extreme distress.
I looked it up, and there is some evidence that ShotBlocker may reduce perceived pain by parents and nurses (with low difficulty of use reported by nurses), but not necessarily lower reported pain by children (see here).
So, after the first use, I was a convert. We've used it a few more times, and I will say, that at the minimum, it doesn't increase pain, and may increase distraction. I'd be really curious to see if it decreases anxiety. I remember the anxiety of feeling the poke being so much worse than the pain. I will have to report back with more data when we go for our next vaccine visit.