You may have no sensation whatsoever, however you may feel tingling or pressure when the injection is administered. Depending on the amount of swelling in the area, you may experience a burning sensation at the site or in your upper or lower extremities or some mild discomfort as the medication enters the epidural space. When the injection is finished, however, any discomfort usually disappears. It is also possible to feel "pins and needles" in your arms and legs, depending on the injection site. If you feel any sharp pains, however, tell your doctor immediately.