Getting the vitamins is the important part. So, whatever works for you is the way I'd go.

My GP prescribed B12 shots for low B12 after the sublingual pills didn't cut it (though they really aren't that bad--sweetish like ridenread said). I took the pills and my levels just never got up to normal. The shot's not that bad, and I give it to myself.

I'm also low in Vitamin D (per a specialist's tests), so I take 2000 IU Vitamin D a day. I take the D in 2 separate doses with breakfast and dinner. Definitely take it (and any other pill vitamins) with food. If I don't eat with it, I'll get a little green.