I presume you're talking about in babies? The most common reactions are localised redness / tenderness / bruising of the injection site, slight fever, irritableness, drowsiness and decreased appetite. Usually the side-effects will go within a day or two, and Calpol can be given to help.
If the side effects don't subside after a couple of days, or if your baby gets a high temperature, vomiting or a rash, contact your doctor or NHS Direct.
Hiya, My daughter had hers a few weeks back. She screamed but had stopped crying before we left the surgery. She had no after effects at all, but the doc gave me a prescription for some paracetamol suspension in case she had any fever or other symptoms mentioned by Mrs Y above.
Its not nice, but its all over in minutes.