Important points to remember:
Vaccine handling during transport is very very important. Everytime vaccines are shipped there is a chance that they have gotten too warm (or too cold) and are thus less or not effective anymore. With purchasing from a vet supply you have no idea how concientiously they checked and stored vaccines. The only thing you can control is how well you check their temp when they arrive at your door--they should be cool.
Also check the expiration dates on them when they arrive.
You need to make sure that you are giving exactly what you need. There are core vaccines and there are risk-related vaccines.
You can find vaccination info at http://www.aaep.org/vaccination_guidelines.htm
Know what an adverse reaction looks like and when you need to call the vet. That info can be found in a link on the above mentioned webpage.
You can ask your vet if you can purchase vaccines directly from him/her and give them yourselves. This would mean less tranportation of the vaccines, your vet's input on what your horse needs and it helps maintain that vet-client-patient relationship that is important to have if you ever have an emergency or need advice over the phone.
If you are giving multiple vaccinations, you can give them on each side of the neck. Or you can give them in the rump or the pectoral muscles. Light exercise after vaccination can help minimize local reaction--pain, swelling at injection site. http://www.aces.edu/pubs/docs/A/ANR-1018/