Incredibly so. I'm so allergic to grass pollen that I couldn't really leave the house at all during early spring and fall. When I had to go to work, I was miserable. Just those few hours before getting in the air would cause my eyes to swell up and my sinuses to clog. It really sucked. After about 6-8 weeks of the shots, it started to improve, and after 6 months or so, I could leave the house just like anyone else in the middle of spring while the neighbor was mowing his lawn. No effect on me. It was definitely worth the hassle of having to go in every week. Now I just have to go once a month. Eventually it spreads out to once every couple of months, and then once every six months. They say that some people can stop getting the shots completely after 5 years or so, but no guarantees on that.
I still take Claritin and Flonase just as a backup, but when I forget to take it I hardly notice a difference.