Personally, I found that Depo made me put on a few pounds...BUT, the pill can also cause weight gain. There are always side effects when dealing with horomones.
As for the loss in bone density, as soon as I heard about the risk, I got a bone density test done. I will get one every year and if anything changes, I will definitely get off of the stuff.
When I was on the pill, I had more frequent migranes and a more severe hay fever season (surprisingly, they are connected). I also had very heavy periods and the pill didn't always work for that.
Before I switched to Depo, I did a lot of research and I would encourage anyone who is thinking of switching or starting birth control to do the same. There are pros and cons to every type of birth control. Depo has worked for me but it is not for everyone. I guess that's why there are so many different choices out there for us. We are all different.