Hello and hope you are doing well.
Certain allergens like dust mites can be countered well with allergy shots. So, it depends on the type of allergen. A complete cure is possible with certain allergens. Discuss the options with your allergy specialist.
Hope this helped and do keep us posted.
I've seen them work miracles for my friends. So I'm inclined to say yes. But like tschock says, it depends on the person and you need to personally weigh up the cost versus benefit. Both of my friends were allergic to 20+ and 36 different environmental factors so the benefit was pretty huge. Now one of my friends, who used to have near nauseating headaches daily doesn't get them at all. (After 1 year of weekly shots)
For me, I don't think it would make much of a difference as I'm allergic to fragrance and lavender, with non-allergenic rhinitis to numerous other flowers, animals and dust.
Just make sure to talk it through with the allergist, because every medical procedure does have some potential (usually very rare) side effects and you need to know of these before accepting treatment.
It's difficult for anyone to really answer this question, as it depends on your own body. For some it works, for others it does not...and what works for some, might not work for you.
Discuss this with the allergist. He'll help you weigh the pros and cons.
I have tried allergy pills, etc over the course of the last 40 years...none have really helped me.
I do sinus rinses and use Claritin allergy spray...helps for the most part.