Placebos are injections or medications that use substances that have no active ingredients that can have a medical effect on a patient. By contrasting the effects of an experimental drug against the effects of a placebo, scientists can measure the effectiveness of a drug against a reliable baseline.
A saline placebo shot does not make one's arm sore. For this reason, researchers are sometimes unwilling to use this form of placebo. The thinking is that by not experiencing soreness in the arm, people will realize that they have been given a placebo. Because psychology is a component of how people respond to medications, researchers believe that this knowledge can muddy the waters of an experiment. For example, the knowledge a person might have that they are receiving the real drug can help them to improve faster. On the other hand, knowing one is receiving a placebo can cause a person to drop out of a study. For this reason, researchers do their best to ensure clinical trials are "blind" by not offering clues as to who is getting what.
Saline injections, while they will not cause soreness, can cause such side effects as fever, redness, swelling at the site of the injection, and infections. The infections come not from the content of the saline injection, but can occur if the site of the injection or the needle is not sterile.