If you've never had the flu, then you are very lucky. Trust me, you never, ever want to get it. Like the Kiko Monster said, you seriously feel like you're going to die. For me, it was three straight days without being able to get off the couch, even a little. People who tell me they're not sure if they ever had the flu...they didn't have the flu. You know when you have the flu.
The flu shot doesn't provide complete protection against the flu, but if it lowers your chance even a little, trust me, it's worth it. And if it lowers the chance that your frail elderly (parent, neighbor, friend) or young (newborn, child, niece, nephew) gets it, it's absolutely worth it.