It honestly just feels like a painful pinch & at the moment you really dont care you just want it in and fast because holy hell do those contractions hurt
They numb you with anesthetic before you get the epidural, so all you feel is a normal needle (like any other injection). Plus if you are at a point in pain that your asking for an epidural, the pains of your contractions are by far worse and more painful than any injection so you will not notice it.
When they numb you for it it stings and as long as they put the needle in the right place it feels like a shot but if not it more like a shooting pain and in the end it might not even work mine lasted for 20 mins and then stopped working