Thus far, my children have always received their shots in the thigh. DS is 5mo, DD is practically 3yo (though has not had her 3yo appointment yet). We have had Pentacel, Prevnar, and MMR. Oh, and my DD got the flu mist this year (in the nose).
I usually get my shots (Tdap & this year flu) in the arm, so I would guess that it is somewhat age dependent.