I finished with my 3rd shot yesterday and have had only minor symptoms overall. The 1st one didn't even hurt getting it. I had occational and very mild pelvic pain maybe 2 or 3 days later, and that lasted less than a day. The 2nd shot was kind of an icy pain, but very brief and unlike the 1st (or 3rd) shot, it itched that night and a bit the next morning, but again it was less than 24 hours. I've had no symptoms with the 3rd shot and it only hurt a bit/was sore for a few hours.
The staff at my GYN's office have said that, in their experience, everyone who gets the series finds one of the shots more painful or sore, but which one seems random. Weird huh? They haven't had any severe reactions (at least that I know of), but as with getting any shot, you have to wait around for 10 to 15 minutes after each one to make sure you don't have an allergic reaction.
The shots are staggared over a 6 month period with the 2nd after 2 months (the 3rd after another 4). So, make sure you don't have any lengthy trips planned when you will be due. I was told that the 3rd is the most important to be prompt about. Also, your GYN will have to order the vaccine. They say it takes 2 weeks each time, but this last one, they were back-logged to 3 weeks, so it was lucky I decided to call early to make the appointment.
Good luck if you are getting your first shot!