To add to what Jill posted...
Insulin comes in two forms -- a suspension or a solution. Unlike Lantus, many of the existing types of insulin are suspensions. For example, Humulin N, after sitting for a bit, will separate into a clear liquid and a white precipitate. You have to roll the vial to re-mix the contents and put them back into suspension before you withdraw any for use. Lantus is a solution. It's uniform and a clear liquid. As a result, you don't have to worry about re-mixing it. Lantus is also relatively fragile. The more you bang it around, the greater chance you will cause it to become unusable. So, don't shake, rattle, or roll your insulin and do not let your kitty use it as a hockey puck!
As others noted, the issue of whether to inject air back into the container differs depending on whether you are using a vial or pen. There's one additional reason you don't inject air into the pen. The pens are manufactured with a negative pressure system. As you use the insulin, there is a black plug that gradually moves down the cylinder to keep pressure on the insulin. If you keep injecting air, there's no place for the additional volume to go. You risk cracking the container.
The tech at my vet's office said the same thing -- pull back on the plunger to make sure you're not drawing up any blood. That might make a huge amount of sense if my cat were on an exam table at eye level. My cat is on the floor with her face in her dish when I'm shooting. I don't shoot in a technically "correct" way but I'm going to bet if we took a poll on the entire FDMB site, the majority of people just poke and shoot.
To answer Denne's (Smokey's bean's) question: The vials contain 10 ml. -- not 100 ml (unless you have a very, very big vial). Each pen contains 3 ml and are usually sold 5 to a box (total of 15 ml). According to the manufacturer, any unused Lantus should be discarded after 28 days. Going by that rule, you would be discarding well over half of a vial (unless your cat was getting a large dose). The amount you would be discarding in a pen would be much less. As a result, the pens are less costly. Even if you were getting more than 28 days from your Lantus, the likelihood is that you would have to discard some amount from a vial whereas you could use almost all of what's in a pen. The pens are more cost effective.