The Copaxone shot should be a little less daunting. It's subq, so the needle is MUCH smaller (believe me, I do both types, and I still have to psych myself up to do the IM shot). Also, an autoinjector is available for the subq shots, so all you have to do is press a button. There's no flu-like effects with the Copaxone, but you might get some bee-sting type pain in the beginning. This doesn't last long, though.
As for the fatigue, I get this. Some days, it's a real struggle. But I think some natural things help. B-complex vitamins, for one. Also, there's been some discussions on this site about Quercetin, EGCG (found in green tea), Bromelain, and Acetyl-L-Carnitine.
Failing these, there are some meds than can be prescribed for fatigue.