I agree with Muffinman about it being worse on the parent. I was always a wreck. I cried more than they did. I personally preferred to have them done all at once to 'get it over with'. Both my kids cried for about a minute, then it was over. They were fussy after, but that was temporary. They're so quick at administering the shots that it's over before you know it.

But, that's my opinion. How you raise your babies is your business and your business only.