My dog is crying out in pain. Is this normal? Anything I can do to ease it?

Don't worry, remember that puppies tend to be a little more sensitive compared to dogs. The reactions to vaccines are mild, he might just be a little drowsy and cranky for the next few days. My puppy got her rabies shot and some other vaccines and she was the same. No worries, just make sure you (and your family) are careful with the puppy and try to avoid rough play (for now)