I've been dealing with Type 1 since July '10 an so far I've only injected in my stomach area. However, I consider the "injectable" area around my stomach to be quite large. Anything between the two sides of my torso and between my lower stomach almost up to my rib cage is fine for me and is absorbed well. I've never felt the need to change sites since this area offers plenty of room. I suppose this will vary based on the size of the person, though.
Regarding the pain, I have that happen to me every once in a while too. Not much you can do about it as far as I know. Sometimes the injection site bleeds a bit too; I've been told that that happens when I hit a capillary by chance.
If you do end up trying another site let me know how it compared to the stomach area
I've been told that insulin is best absorbed in the stomach, so if you do try out other areas the effectiveness of the shot may be something to look at afterwards.