I wanted to, but didn't, with DS1. The nurse was very disparaging, said it would only take a moment (as it did) and that it was too much bother to give him the breast.
I suspect she just didn't want me to be stuck feeding him after the vaccinations - she'd clearly never seen me stand up and walk away, still with a latched-on infant! 
Anyway, I've since read the study that suggests that small children really find the edge taken off painful procedures if they're eating something sweet, and I seem to remember that a suggestion from this report was that babies could be breastfed during vaccinations to give them comfort and something sweet.
My 9 wk old has his first lot of jabs on tuesday and I'd really like to try this. Yes, I KNOW it's only a second or two, but all the same.
Any thoughts? Is the nurse likely to think I'm bonkers? Anyone done this with good effect?