I had unprotected sex while on the depo and didn't get pregnant but both my mother and sister both got pregnant on it!
It all depends on the person but I agree look at the site.
I took one depo shot back in september. I gained 10 lbs almost immediately. My appetite just tripled. I will NOT be getting another shot and will look for another form of birth control. When I was looking into getting it I heard from a lot of women that they really disliked it. I also had a couple of women who said they actually got pregnant on Depo. The only reason I got the shot was to try and help boost my milk supply after giving birth. I won't do it again.
But like Clysta said, look at the depo website and see the complete list of side effects.
The Depo is one of the most effective birth controls on the market, but has some side effects that put women off. (I'd never personally use it. I went with a non-hormonal IUD) Side effects you might get are odd spotting, heavy/lighter than normal periods and over time no period, weight gain (this is a real common one) headaches, breast tenderness and a few other I can't think of. You can google for a proper list of side effects and the number of women who experience them.