Nerves I bet for the sweating and dizziness, and blood can be normal. Just apply pressure as soon as the needle comes out and do a circular motion with your fingers to ensure that little to no oil comes back through the injection site.
Welcome to the Winning Pinners Club. Always be sure sterile and clean technique are the only way you ever pin. A little blood is to be expected - sometimes there will be none. Some guys advocate aspirating. I don't simply because I've done many cycles without ever aspirating and never once had an issue.
As Phetamine said - it's good practice to massage the site a little after you're done injecting. Before you know it - you'll look forward to pinning in a sick kind of way (but a healthy sort of sick way!!)
I think you were probably pretty nervous since it was your first time. Between the nerves and adrenaline you'll be ok
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You have it backwards - if anything, the 25g would hurt LESS than the 23 ga. b/c of the fact it is smaller in diameter. However, it might take more time to plunge the gear through so I'd rather use the 23 ga. as long as I'm not pinning 23 ga. ED.