The "venom" is actually something called formic acid, which essentially dissolves your tissue, which would make it a hell of a lot more painful than a needle.
While formic acid is indeed a nasty chemical, bee venom is not made of it. Bee venom is called apitoxin and is composed of a mixture of proteins which wreak havoc on your local biochemistry in a number of different ways.
That has to be like a sewing needle, not one that is used for piercing skin. A needle at the doctor is more pointed and has a hole in it so the medicine can get squirted in.
Of course, it's really the venom...
...and I'm allergic.