I've been using Humira for a few months now. The auto-injector was seriously painful, so much that I started dreading the injections. It's subcutaneous, this should be no big deal! I don't know why Abbvie say to use the thigh: it's fibrous, more vascular, and generally lacking in subcutaneous fat. I dislike injecting in my stomach because it bruises easily and is rubbed by waistbands :(
I started injecting in my "hip", better known as the muffin top, where I have more fat and less connective tissue. I barely felt the first such injection, and the second was much less painful despite inferior aim. Plus I could actually see the yellow indicator.
I am not a doctor, this is not medical advice but just my opinion. I refer you to the NIH patient education sheet
for details on subq injections. And photographic proof that Humira is subq: