Assuming you aren't getting an injection of bleach from someone in a back alley...
When we went to get vaccinated the only choice we had was which arm. They had one type of vaccine, take it or leave it. If that is what they offer you, and your doctor has not said you should not get vaccinated at all, you should almost certainly take what they've got. All of the COVID vaccines offered in the U.S. are better than not being vaccinated at all.
You might find the information from the CDC, Mayo Clinic, and CNBC interesting. Note that it is difficult to really compare the different vaccines. Their trials were at different times and hit different variants...and, obviously, none of them have been tested against future variants. Sometimes it appears the different trials were collecting some different kinds of data, too, for instance protecting you from getting infected vs. how serious it would be if you got infected.
The risks they talk about for the Janssen/Johnson & Johnson vaccine are apparently exceedingly rare. You should probably be more concerned about your safety getting too and from the vaccine site. But you only need one shot with it, the others take two shots.
With any vaccine (even a flu shot) they'd probably want you to hang around for 15 minutes to make sure you don't have an allergic reaction to the vaccine. That is a good time to do some people-watching and chatting.
And you might have some temporary side-effects from any of the vaccines. My bride was completely wiped out the day after the first and second shots. (She was back to making me tired in no time, however.) I had no side effects.
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When diagnosed I bought champagne!
I finally knew why people were strange.