Ok scientist coming in with her two cents and yes, I worked in immunology before and have actually worked on vaccines.
YES you can get the flu from a flu shot. This doesn't happen very often however. It depends on whether you're taking a live vaccine or attenuated vaccine. Most of the flu shots are inactivated or attenuated. However, it is still possible to feel a little icky after a vaccine. This is normal.
I do believe that getting a flu shot is beneficial. Maybe...7 years ago or so, I didn't get yearly flu shots. I got the flu, REALLY bad. The worst I had ever had. I wanted to die it was so awful.
Since then, I get a flu shot every year. I haven't had the flu since. I have had little colds and pharyngitis, but no flu. I definitely believe this is worth your while. Flu researchers every year isolate the strain of flu that is most likely to cause an epidemic. This is what you're being vaccinated against.
The choice is yours.