I totally agree, I've had too many girlfriends who have suffered the side effects of the shot, eg, spot bleeding, weight gaining, mood changes.
Some of the side effects have not started for over year after first having the injection.
At least with the Pill you can change the level and go off it very easily. It is more of a pain to remember it everyday, but there are just too many real stories out there about the shot.
Every body is different so maybe it will do good for you, but then do you want to risk it if it goes wrong?