Epinephrine (also known as adrenaline) is used as an emergency drug for severe allergic reactions, because it relaxes your muscles and reduces swelling, thus making breathing easier (or possible in the first place). Because epinephrine might save your life, it should be as easy and quick to apply as possible, even by children, that's why there are auto-injectors.
My Epipen injector is used by first taking a safety cap off (so you don't inject accidentally) and then pressing the other end of the injector against your thigh. The needle then shoots out from the injector and the epinephrine is injected to your muscle. You don't have to inject the needle yourself, so the injector can also be used by people with needle phobia (such as myself) and also makes it easier for children to use on their own. The injector can also be used through clothes, making it quicker to use in an emergency. It isn't a cure to an allergic reaction though, it's only for emergency first aid and wears off in 10-20 minutes, so you should go to a hospital after taking a dose.
Note: this isn't meant to be a commercial, but Epipen is the only epinephrine auto-injector I know about (I also tried to search the net to no avail).
Sources:
http://www.allergic-reactions.com/consumer/5_0.cfm