Things that have helped me with giving immunizations to kids:
1. Know thy stuff - Parents hear all kinds of truth and fiction about shots, so it really helps to reassure them if you can answer the more common questions and know where to look up the uncommon ones. The "pink book" from the CDC is a great resource as well as your immunization consultant from your state health dept. "Epidemiology and Prevention of Vaccine-Preventable Diseases" is updated each year. It also helps to watch the satellite/webcast of the same name from the CDC that's done starting in Feb. of each year.
2. Make sure kids are securely held during shots - Nothing's worse than having a kid jerk while giving a shot, or getting kicked in the chest, or smacked. We have the parent be at the kid's head and hold their arms. A staff member holds the legs and the nurse only has to worry about "shooting". If the child is really out of control, don't be afraid to say, "I don't feel that it would be safe to give these shots unless he/she can cooperate."
3. Refer parents to the VIS forms - the most commone side-effects from shots and what to do about them are always listed on the back. I point those out to parents so they have a resource at 10:30 pm and have a feverish kid. VIS=Vaccine Information Statement that's given to parents for each shot at every visit.
There's more, but these are the 3 "biggies" in my mind. Good luck!