You can't get the flu from flu vaccine. You can get the flu after a flu vaccine, but it's not from the vaccine.
My personal theory is that your defenses are down while your body plays "war games" with the dead cells.
PS You asked how much it cost -- for me, it costs my deductible, which is like 5 bucks.
There's another problem with the vaccines in the first place, which happened last year -- doctors aren't prescient. The ones who perform the research behind flu vaccines have to anticipate which particular strain is going to become prevalent in the upcoming season, and then create a vaccine against it. The effort is enough that they can only create vaccines against 2 or 3 strains at the most. If they guess wrong, then you get outbreaks anyway. This happened last season.