I'm not needle phobic so I won't vote as that might skew the results but I had to comment because I feel strongly about this subject!
First off, I'm American...I have never heard jag or jab used in the states but I would be very opposed to it. That would scare me...as gettingthere said...the word itself even sounds harsh and intimidating. Shot is equally intimidating as this conjures up childhood memories of painful injections at the pediatrician's office getting every immunization/vaccination for every possible ailment that has ever been documented on Earth (every immunization that they have figured out how to create anyway). It seems that an injection in the arm, however, is much more painful than an injection in the mouth (surprisingly, if done properly). I'm sure that has something to do with the number of pain-receptors, types of injections, types of tissues... but anyways, I digress.
I'm with Lets and Brit on this one. My current dentist uses "get you nice and numb" or "get you numbed up" and this is the least fear-inducing statement for me. Because I also equate numb with comfortable=not stressed=more relaxed. I guess this is because I fear the drill and find the option to be numb as a comfort...if you are fearful of the numbing sensation this would probably not be the best statement though. She has also tried the "put your tooth to sleep" with me and I actually didn't like it, I found it condescending but that's just me. She has also used the phrase "I'm going to give you some anesthesia" and I'm neutral to it...but it's not my favorite. I don't really have any negative associations with the word anesthesia so it doesn't particularly bother me but it doesn't provide comfort either necessarily. Never had the term "injection" used by the dentist but I'm sure I would feel about the same as I do about anesthesia but injection is a bit harsher sounding and conjures up a scarier mental image of the syringe making it less appealing. I don't like freeze...I associate freeze with a harsh sensation and it's off putting. "Numb" sounds far more comfortable than a "freeze". I don't think dentists can ever make everyone happy ...there is certainly no one-size fits all approach! Overall, indirect references such as "get you numb" are the most comforting in my case. Focuses on the reason for the injection/result rather than the injection itself.