Have you given shots before? On yourself or other animals? There needs to be a comfort level, and good technique, in my mind, to do it to a wiggly puppy. Drs. Foster and Smith website has a lot of information on it.
I prefer to have it done at the vet - if there are any problems, they can document it, they "did" it, so would be working with me to fix it. I have never seen anything go wrong, but then again, they've been doing shots for years.
Rabies, the vets have to do.
Does your vet have a puppy package type thing that is a discount? Because that is a big savings. Shots are typically less than $20 here.