I've had several lumbar epidural injections for degenerative disc disease and sciatica. First the doctor cleans the areas with an antiseptic and then applies a local numbing agent. You will feel the "pinch" of the needle used for the local anesthetic. It helps at this point to relax your back muscles as much as possible to make it easier for the doctor to slip the spinal needle between your vertebrae. Because of the local anesthetic, the epidural injection itself won't be painful, but you will feel a good deal of pressure as the corticosteroid (which is mixed with a small amount of local anesthetic) is injected.
They will keep you for a bit and make sure your blood pressure is stable. You will leave with a doctor's note excusing you from work for the day and instructions to rest. You will also not be allowed to drive yourself home, so you need to have someone else drive you.
You may or may not have some discomfort for up to 3 days because of the extra volume from the injection. This is also the amount of time it takes for the corticosteroid to successfully reduce the inflamation.
Whatever you do, make sure you don't have the injection if you have an infection or you are sick. I found this out the hard way when I had a slight sinus infection when I got an injection. Because the corticosteroid suppresses your immune system somewhat, an infection can worsen.
Believe me, the benefits of the injections far outweigh the temporary discomfort.
HTH