Blue Cross says they cover allergy shots, but you must pay your copay each time first. For me that's $35 each visit. However, the actual injections only cost $17.26 (pretty specific, huh?) so the office just charges me that instead of the copay. I have heard of some doctor's offices that charge the full copay amount even if the shots are cheaper. I'd ask.
Also, my DS was just diagnosed with asthma and between the two of us, we have a lot of allergist appointments and shots. Our office has been really nice about comping some things and giving me a 6 month supply of one of my $45 a month prescriptions.
The allergy testing along was almost $2000, but all I had to pay was my copay so I guess insurance is good for something!