Hi Hairball,
A lot of people wince at the thought of doing everyday injections, but it may not be as bad as you think. The size of the needle is much smaller and injected into the skin rather than the muscle. The side effects of Copaxone compared to the interferons, for most people, are much easier and theres not a depression side effect linked to it as far as I'm aware of.
Good luck with your decision, I believe we have a few on tysabri that might be able to help answer that part of your question.
Kimber