I've had one Kenalog shot per year, during hay fever season, for at least 20 years. It's the only thing thing that has allowed me to function during hay fever season.
I've had three instances of the "butt divots" mentioned by others here. I learned at some point that it was because the nurse hadn't injected the cortisone deeply enough. The divots each lasted 1-2 years, but finally filled back in.
I also had one instance of feeling terribly jittery, my heart racing. That happened when the dosage was too high.
I went back to every doctor who had ever given me a kenalog shot and asked what dosage was given to me. Anytime I get a shot now, I remind each doctor or nurse exactly how much kenalog I should get, and how deeply it should be injected.
I hate taking any cortisone, but I haven't figured out how to live a functional life from mid-August to mid-October without it.