TweetLOL, i have never ever heard anything about it (left side having more nerves/blood vessels), BUT i was just gonna tell u that i always had probs with my left quad! it hurt way more then the right one (to the point where i had to take it out and try a new spot), and it always bled like crazy... i thought it was just my quad...
but in general, quads (the right one at least :p) are really eay and safe to do... just don't shoot in the center of ur leg (that's where the main nerve is... so just do it slightly to the side)