If you are dealing with shoulder pain/injury.... might as well just suck it up and have surgery. That usually turns out to be the best option in the long run. The other solutions are usually short term and really do nothing to address the problem, instead just mask the pain so you can ignore the problem.
From worst to best, I would rank them as :
Medication
Physical Therapy
Platelet Rich Plasma (PRP) treatment
Cortisone shots
Gel shots (hyaluronic acid)
COOLIEF (laser burning of the pain nerves)
MUA - only for arthritis related problems that are resulting in pain, impingment, range of motion problems.
Then the best option is surgery.