A recent Nature Materials paper reports on a surprising and somewhat contradictory-sounding approach for safe and painless vaccinations--microneedles.
Actually, it's an array of very small needles. These can be coated with DNA or proteins, and then used to push the coating into the epidermal layer of the skin to introduce a layer of biologically active molecules where they can remain for days to weeks. This gives the body more time to respond, which can be useful for some drugs, such as vaccines. Basically, you're tattooing a layer of a drug just under the skin.
The approach was used to inoculate mice and monkeys with a DNA-based HIV vaccine. The immune response in the monkeys seemed to be much stronger than a simple standard injection of the same vaccine, indicating promising potential. However, the monkeys had no comment on whether the microneedle approach was, in fact, as painless as promised.