I was on depo for a year after I had my first and I hated it. I gained soooo much weight, and I wasn't eating or exercising any differently than before, but I still gained. That is the biggest thing I hear about from other depo users, the weight gain. Aside from all of the other usual hormonal side effects that is. I'd look into a copper IUD if I were you. I have one now and love love love it. No hormones and it's good for 10 years.
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I'm editing my response because I saw that another poster had said to get the Mirena IUD instead of copper because the copper causes heavy bleeding. I'd like to respond to that by saying that the first period I had with my copper IUD was 10 days long and very heavy, but since then they have been progressively getting better, and now they aren't any worse than before. My body simply needed 4-5 months to adjust, plus I expected a long one the first time, since I had been breastfeeding and my son was 9 months old by the time I got my period back. My IUD had already been in place for 7 months at that point. I would also like to point out that heavy periods are a much better side effect than blood clots, strokes, mood swings, heart disease and all of the other risks that come with hormonal birth control (Mirena is hormonal). And the IUD doesn't really hurt much going in. I'm not sure what everyone else's pain threshold is, but it didn't really bother me too much. I think stubbing my toe hurts worse than the IUD insertion did.