I had that done in Feb of last year. Doc guided it in with an x-ray, to avoid paralyzing me. The shot worked for about a week for me, then it stopped helping. Turned out I had a ruptured disk, however, and not just a bulging disk as originally thought. It was kind of a weird sensation going in, but didn't hurt. They used a local on the area first. Had pain meds, so I was back at work the next day.
For some people, these work really well. For me, it just didn't. Didn't appear to leave me with any harmful side effects, however.