We got the shot for our baby and he was fine. In fact, during his first couple of weeks he objected much more strenuously to diaper changes than any shots or pricks.

If you're interested in any research, the Stanford School of Medicine has a nice section addressing parental concerns and includes a couple of references at the end of the document:

Does vitamin K cause cancer?

• One study published in the British Medical Journal in 1990 raised this concern, suggesting that the risk of cancer was doubled in babies who received vitamin K at birth
• Many studies since then in Europe and in US have refuted this claim and found no association between the two.  Only one other study (aside from 1992 paper from the same author) suggested a possible association between vitamin K and the risk of ALL.
• There is good consensus among experts that IM vitamin K prophylaxis is safe and is not associated with childhood cancer.

Does vitamin K cause jaundice?

• There were reports of hemolytic anemia and hyperbilirubinemia severe enough to cause kernicterus in the mid 1950s with high doses (50mg) of vitamin K2 (menadione).   As a result, use of this form of vitamin K was abandoned.  We now give infants vitamin K1 (phytonadione).  Vitamin K1 has been associated with hyperbilirubinemia only in high doses (25 – 30mg) particularly in premies, though the effect was present to a lesser degree in term infants.  This has not been a problem at therapeutic doses, though this concern is why we give babies <1500g a smaller (0.5mg) dose.

What other side effects have been reported?

• Anaphylaxis, though most common after IV infusion, has rarely been reported with IM injection
• Scleroderma-like patch at the site of injection has been reported primarily in adults after repeated injections, though there are reports of 7 infants with similar dermatologic reactions (again, millions of doses are given without problems)