Correct in that it would be great if we had more drugs to choose from and yes, like all drugs they all have side effects, pros and cons and are situational. No drug is perfect.

Plus I listed analgesics because that is what someone asked for a list of but I didn't mean that all are suitable for chronic pain. Very little is. In fact the best therapies often aren't pharmaceutical for chronic pain.

R.e. steroid side effects they include increase in glucose levels, reduction in immune system response, a decrease in endogenous steroid production, increaser risk of GI bleeding and weight gain/hunger. Very unlikely to get these from a single injection like your friend though and actually it's unclear why single shot steroids remain so effective for as long as they sometimes do.