Why do women get epidurals if labor is excruciating with or without it?

You can become paralyzed if they mess up, and my friend just told me it even slows down labor! Everyone I know that's given birth and had an epidural says giving birth is unimaginably horrifyingly painful and getting the epidural is even more painful. So why get the shot if it doesn't make labor any less painful and the shot itself is even worse??? Are there any other methods of numbing the pain? I can't imagine giving birth without an epidural but I'm actually considering skipping it after all I've heard!