This is how it was explained to me yesterday, that if you get sick one of several things may have occured.
you can be allergic to some component of the vaccine (eggs - the preservative)
you may have already been exposed to the flu without knowing it - generally symptoms don't appear for 24 hours or so after you've been exposed
you may contract another strain - the flu vaccine usually only protects against 3 of the most common ones
you may contract one of many "flu like" illnesses
but you can't possibly get the flu from a flu shot, since there is no live virus in it (looks like Oakleaf is totally correct - the nasal spray is what has the live attenuated virus in it).

I'm feeling lucky, I feel perfectly fine. I can't recall ever having a bad reaction to a vaccination before ever though. I might have to do the hepatitis series though...