Ideally, you should feel very numb and comfortable during both your preparation as well as your placement visit when you have your veneers done. Once the anesthetic wears off, you may have a little tenderness but it is usually easily handled with a couple of advil or tylenol.
I would say that if you are phobic, you may want to choose porcelain over bonding as porcelain will last longer and therefore, need fewer follow up visits throughout your lifetime. And you can check for a dentist who is trained in no-prep or minimal-prep veneers which could eliminate or greatly lessen the number of anesthetic shots you might need. Lastly, oral sedation is another possibility to help calm you for the visit. Again, make sure your dentist is trained in this before moving forward.