Osse here.
Do you mean the "mouse trap" type finger sticks? The one with the spring-loaded swinging arm that kind of looks like a catapult with a small blade on the end? I had that used on me a few times as a kid, and they definitely suck. Those belong in the Torture Museum. At least they now have smaller ones for the fingers, and the newer ones for the arm.
Progress is occurring, although slowly. Inhaled insulin was on the market for a short time, then recalled due to inconsistent absorption from person to person. (Not knowing how much insulin you'll actually get is not good.) After the hundreds of millions they spent bringing that to market, I'm sure they'll fix the problems with delivery and get it to market again. Also, they've been working on a no-stick glucose monitoring system for years. It will theoretically be able to get a reading just by pressing a sensor to your arm. It could even be used for continuous, real-time monitoring of blood glucose levels. I'm just not sure if any progress has been made on the device.