I found that Accu-Chek
FastClix pens and cylindrical cartridges each containing six shrouded needles were the least painful for finger pricks. You can choose between 11 depth settings.
The FastClix cartridges come in boxes of 34, curiously called "200+4" needles.
You may need to 'encourage' your doctor to prescribe them, because they are somewhat more expensive (because better engineered!) than the usual rubbish ones which they try to foist off on you!
Although it is not recommended by the manufacturers, it has been known for diabetic persons to re-use the same needle a few times, thus prolonging the life of a cartridge.