I went into anaphylactic shock from allergy shots. I believe they can be effective, but consider the potential consequences before choosing to do it.
Right before I started college (1995), I got tested, and like you, found I was allergic to most things they tested for. (In real life, I only was allergic to cats and had the occasional hayfever). I did have occasional asthma as well. My allergist recommended allergy shots.
I was in college from early Sept-mid Oct getting my shots at the health center. By mid October, I was just about to switch to a higher dosage and was on my last dose of the weakest concentration.
Immediately when I got the shot I knew something was wrong. My skin near the injection tingled and within seconds my whole body tingled. Somethign was seriously wrong. The nurse gave me Benadryl then called 911. Within two minutes I could not move. The ambulance was on it's way and she had to inject epinepherine (adrenaline) into me multiple times because I was losing conciousness. I actually had to concentrate to make my heart beat or take a breath once a minute, which is the hardest scariest thing I've ever done. About 10 people from paramedics arrived, gave me more epinepherine and 3 IVs, discovered I had NO pulse or blood pressure, and rushed me to ER where I stayed several days in Intensive Care. Needless to say, I quit allergy shots.
I also know someone else this happened to as well.
I firmly believe in western medicine when it is necessary, but there are a lot of alternative therapies available for allergies/asthma.
I have done NAET, chiropractic, acupuncture, Quercetin and Bromelain at one time or another. I find that NAET/chiro and the combination of Quercetin and Bromelain BEFORE allergy season hit helps me the most. I still have an occasional bad day where I take prescription meds or use my inhaler, but for the most part, I feel tons better than when I was taking the shots even.