I'm currently taking immunotherapy for my cat allergies. It's a very old way of treating allergies. What it does is to introduce the allergens into your body in a controlled way and have your body learn to cope. It works pretty well for hay fever but first you'll need to get tested to see what exactly you're allergic to. These days, they can treat a few allergens at a time.
So the treatment is a series of injections where they inject the allergen into you. It involves 3 months of weekly shots to get you up to the maintenance (max) level and then monthly shots to maintain this level. Depending on your reaction, it could take more than 3 months to get up to the intended level. How long the maintenance shots last depends on you but most people usually take it for 2 years but this is a very generalised rule of thumb.
After every shot, you have to wait 1/2 hr at the doctor's just in case there's a severe reaction.
And that's it.

There's plenty of info on the web for this.
I have mine done at this place:
http://www.allergieasthma.ch/
The allergist is actually a paediatrician. The weekly shots are done at his klinik in Kilchberg Sanitas (as a precaution in case there's a severe reaction) but the monthly shots are based in Loewenstrasse, Zurich.
But there are many other allergists around, including at the Unispital. He has told me though that this year is expected to be a bad year for allergy-sufferers.
Cheers,
Nanda.
P/s: Yes, it is working for me. I started my therapy in May, and the monsters arrived in August. I've never had to take any anti-histemines.