I have been on Avonex for over a year now & have had occasion to chat to NHE about some side effect issues - he is a great source of knowledge and experience!
I am an RN and have some (limited) experience with IM injections...I have had some very explainable injection site bruising, usually occurs when I get a light arterial spray from the injection hole when withdrawing the needle (no blood backflow into syringe) - this has only happened a couple of times!
I would suggest that there are maybe a couple of possible reasons for your post-injection pain: you may have hit a nerve when injecting, or if the pain did not occur from the time of injection, but appeared later, then you may have a small haematoma (where you get a little internal bleed from the injection and it forms a small space-occupying lump), or maybe an abcess due to infection (unlikely if you follow basic surgically clean techniques when injecting).
As for your ankle bruises - I have never had anything like this. Avonex can affect your liver and your white cells - I would suggest that you get a CBC with differential to make sure that your platelets and the breakdown of your white cells is ok. It might just be that you knocked your ankles but can't remember how - this happens to me a lot, and I bruise easily!
When injecting, you should divide your thigh (from knee to hip) into thirds - always inject in the middle third, on the outside of your leg as you are less likely to hit a nerve (or major blood vessel - thanks NHE). Make sure to wash hands, swab the injection site with an alcohol swab, and use a new sterile needle with each shot - and mix the Avonex as instructed prior to injection.
I am sure you are doing everything correctly, so I would suggest that you see your GP or Neuro - show them your leg and get their take on it (if it is not red and hot, and you don't have a fever it is unlikely to be an abcess, and small haematomas usually resolve on their own - you would just be advised not to inject there for a while; at worst they may want to drain it with a needle if it is large), then ask for a CBC and take it from there.
All the best & let us know how you go.