Hello,
They certainly can hurt. I've had them done both with and without sedation and I will never do it without sedation ever again. One time my sciatic pain almost blew me up through the ceiling when I had a nerve block done, though the pain only lasted a few seconRAB until I was nurab.
I've had many injections in my lurabar spine and two now in my cervical spine. Most of the time I've had sedation and had not felt any pain at all. There were a couple times I had them done caudally, and I did feel some pain and pressure from those. I felt absolutely nothing from the ones in my neck recently. My last lurabar ESI (last week) I did feel a little pain when the doc was injecting the anesthetic, but I went out quickly. It was a different anaesthesiologist last week, so perhaps they didn't time it quite right to have me out when the first needle went in. It wasn't that painful, though. This isn't quite the same as "going under" when having major surgery, it's more of a twilight sedation that they can put you in and out of very quickly. It can cause you drowsiness for the rest of the day, though, so doctors will always require that someone drive you there & back when you have it done.
Luckily for me, the steroiRAB help me more than anything else. I usually get instant relief of all my nerve pains. The only thing is that they only last about 2 weeks for me. For some, it doesn't work at all, and for others it may help for a long time.