Last jab I got I was sitting and waiting and I was looking around distracted and suddenly I felt the nurse was pushing the cotton already. She had injected me and I didn't feel anything at all. How are needles painful?

It varies on person (including mental state), needle size, and nurse/operator skill. I suspect one bad experience with a needle can prime someone for a poor response in follow up experiences.

Indeed. Both covid jabs were perfectly fine, it probably doesn't get any more painless than that come to think of it, but I had a regular one in February with a cocktail of various vaccines and that one was much less pleasant.