I had an IUD several years ago. I had a copper T, which is what it sounds like. It's very tiny, but has a higher success rate than the pill, and once it's in you don't have to think about it again. Unfortunately I naturally have a very irregular cycle, and having the IUD made it even worse. Also, my boyfriend could apparently feel the monofilament coming out of the cervix. It was EXTREMELY painful to put in, and I felt awful for the rest of the day.

There is another kind of IUD that might be better, though, I just didn't want another one after I had that one taken out, and I prefer the pill because it regulates my cycle. The Mirena similar to Depo in that it contains a slow-release hormone embedded in the material, so as well as having the function of a physical disturbance in the uterus, the hormones released do the same thing as the shots. I don't know how Depo affects your cycle, but some women don't even get periods when they use a Mirena. It is also less likely to cause weight gain or acne or emotional disturbance, which some women report with the shots.

Check this out for more info:

http://en.wikipedia.org/wiki/IUD

Ask your doctor.