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The basic answer is that injections work faster than tablets or capsules, that is the top advantage of injections. However some illnesses require that treatment be medication released slowly in that case tablets or capsules are preferred.

Injections apply the medication directly into the blood stream, fast and quick acting, usually used where a direct application of medication is required such as in cases of allergy or viral treatment. capsules are more common with progressive treatment or long term treatment such as venereal diseases, common colds or common viruses.

The majority of medications come in capsule, liquid or injection forms, the reason for this is that it is difficult to treat babies with tablets (swallowing is harder an more risky), elderly patients often cannot be treated with injections as their veins are weaker, harder to isolate or it would simply be danaging to inject them.

Certain medications and illnesses require a delivery time, capsules allow a medication to be delivered in a staggered pattern. Today capsular medication can even be made to react to enzymes found in a certain part of the body - effectively a timed release medication.