It can also cause stretch marks. I prefer a plain old copper IUD (no hormones), but the usual side effect is heavy bleeding for about a year. This could cause anemia. Other than that, it's been great.
When on the Depo, the best way to avoid gaining weight is diet and exercise. Some people gain the weight and some lose weight. When I was on Depo, I gained weight, I also didn't exercise and I wasn't on a diet. My friend, however, lost weight while on Depo, she also didn't exercise and wasn't on a diet. Depo affects people differently. If you were dieting and exercising and you gained weight, you may want to choose a different method.