Allergy shots are used to help your body build a resistance to allergens that you are particularly allergic to. The serum with which you are injected with is compounded of specific allergens which you tested sensitive to. The dosage is increased over time, allowing your body to adjust and build immunities to the specific allergens.
I had allergy shots as a child, and while I did not notice a dramatic change, my allergies are much better as an adult.