If you inject your insulin using an insulin pen, you use needles.
If you inject your insulin with a syringe, you probably use needles.
If you have pump sites, you use needles.
It is possible to have diabetes without using needles- you could use a jet injector that uses intense force to push the insulin through your skin, and you could poke your finger to get it bleed with laser lights (or you could probably get away without checking your blood sugar). But I think it's pretty safe to say that if you've had type 1 diabetes in the last eighty years, you've used needles- many many times.
Your needle generally comes with two measurements- the length of the needle, and the gauge of the needle. For an insulin pen, you can use needles as short as 4mm or as long as 12.7mm. Neither of these are very long- 12.7mm is half an inch. If you use syringes, the shortest needle you'll get is 8mm and although really long needles are not meant for injecting insulin, you can use a longer needle if you chose to. Insertion set needles match cannula lengths and are typically 6mm or 9mm, although I'm not really sure what the range is. Sensors for Dexcom and Minimed are inserted with half inch needles.
The gauge of the needle is a nonlinear indication of the width or diameter of the needle. Confusingly enough, a bigger gauge indicates a thinner needle. Needles associated with diabetic use have gauges ranging from 32 (BD's nano pen needle) to 21G (Navigator sensor's inserter needles).
Why would you want a big needle? Well, to insert a sensor probe or a cannula, the needle clearly needs to be as wide as the sensor or cannula. I am not aware of any reason for insulin to need to pass through any large width of needle, but thinner needles may be more likely to break, especially if you reuse them, and they might be more expensive to make.
As for length of needle- for most of diabetes history, the goal has been to inject insulin into the fat tissue, although sometimes people aim at muscle or veins. You certainly do not want to inject the skin. And sometimes doctors don't want to worry about how thick your skin might be, so they inject long needles. If you inject very close to the skin but in the fat tissue, it's possible that if you inject a large volume of insulin, some of it will irritate the skin (where the pain receptors are) and that will make your shots hurt more. If you use a needle that's on syringe, the needle has to be capable of penetrating the top of the vial of insulin as well as going into you correctly, unless you are using luer lock syringes and changing the needle between filling the syringe and doing your shot.
However, many many studies have shown that having skin that's more than 4mm deep in any of the places people commonly inject insulin is rare, even in people who are morbidly obese. You can find those studies elsewhere on this blog.
For comparison- if you donate blood, your blood will be drawn with a 16G or 17G needle (OUCH) so that the blood cells don't get squished coming out of you.
Blood draws are typically done with 21G to 23G needles, and IV lines are typically 20G to 22G. You can see a chart showing gauge differences on wikipedia: http://en.wikipedia.org/wiki/Needle_gauge
Using the math you learned in middle school, you can figure therefore that a 32G pen needle that is 4mm long has a volume (not subtracting inner air) of .173 cubic millimeters.
A large end insulin needle is about 12mm long and 28G, which gives a volume of 1.235 cubic millimeters.
The Navigator sensor probe, at roughly 13mm long and 21G, has a volume of 6.686 cubic millimeters.
The Navigator sensor probe is roughly the size of needles used for blood draw.
If you have a doctor (or nurse!) express surprise that you or your child takes shots every day without much complaint but hates blood draws or IVs, please tell them this fact:
The needles used for blood draw are typically 5 to 30 times as large as the needles used for injecting insulin.