I hated my Lantus injections (I'm on the pump now). First of all, my CDE said that some people are allergic to Lantus so I should tell her if it hurts too much. Second, I found this helped:
It hurt less, leaked less, and didn't form little lumps when I learned to inject the Lantus very slowly. I used pens, and push it one click a second (so that's one unit a second, if you're using a syringe.) Then I held it for 15 or 20 seconds. My CDE had said 10, but I found that the larger doses of Lantus needed more time if they weren't going to leak.
Because I was having evening lows, my Lantus injection was eventually split into two, one every 12 hours. That might not be practical for some people, but you might ask your endo or CDE about two injections, right next to each other. I saw somewhere on a forum that someone who's had problems with Lantus forming little lumps that they split their injections in two that way. It's a thought.