The effects of iron infusions depend upon how large a dose you're getting. My doctor (a hematologist/oncologist) was very conservative and wanted to avoid anaphylactic shock--so she divided the required amount into 16 IVs, once a week. With the weekly dose that low, there was a minimal possibility of harmful side effects, and I certainly didn't have any. I then had to have another round of 16 infusions, because tests showed that I still didn't have enough iron in my system.
I took the first 16 infusions in the oncology department of our local hospital, surrounded by brave, funny, inspiring cancer patients. I took the second 16 infusions in my doctor's office, once again surrounded by cancer patients (and two chocolate labs, who hung out with the patients--and took your nice, warm seat if you went to the bathroom). Each IV took about an hour and a half; the nurses were skillful about administering them; the conversation was terrific; and I got 90 minutes a week of enforced quiet and reading. It really wasn't bad, and I kind of missed it when it was all over.
If they're giving you one or two huge infusions, there's some risk of anaphylactic shock, which is why many doctors don't like them. But they'll keep a close eye on you and watch for symptoms. And there are good, fast antidotes now, if you demonstrate any problems. Good luck!