I have had two caudal epidurals and two nerve blocks in the last 10 weeks. I noticed a decrease in inflammation with every procedure. The numbing agent that they use during the actual procedure is so wonderful - I was numb and totally pain free for several hours afterwards. The doctor will tell you that you may have an increase in symptoms for a couple days after the injection, because it takes 2 or 3 days for the steroids to begin working. You may not see much of a decrease in symptoms even within the first week - it does take time and they normally do two injections pretty close together. The epidural injections didn't work so well for me, but every procedure gives the doctors a chance to see what works and doesn't work on each individual person. The nerve blocks have definitely worked for me, i'm seeing improvement every week.
Side effects - some stiffness for the first couple days, increased pain for a couple of days, possible hot flashes and increased appetite, irritability. It's my understanding that they can use a much smaller dose of steroids in an injection than has to be given for oral steroids plus the steroids don't get into your blood stream so much as oral, but its still steroids and they do cause side effects. For me personally - I'll take the side effects for a chance to decrease pain and numbness.
Good luck!
Here's some places I used before I had my first one..........
http://www.allaboutbackpain.com/html/spine_general/spine_general_injections.html
http://www.ncpainmanagement.com/EpiduralSteroidInjections.htm
http://www.back.com/treatment-nonsurgical-epidural.html
Had an epudural steriod almost 4 months ago for prolapse at c6/7 as I was too scared to face surgery! It was not painful and very quick and straight forward. It helped the pain down my arm and in my shoulder by about 80% and is only just beginning to wear off so I definately intend getting another one shortly. Doesn't work for everyone, Im told, but deffinately worth a try, good luck.