IUD's are not nearly as risky as you might think. For one thing, horror stories are not quite the way to go. If you want horror stories, then read up on the dalkon shield in the 70's (this one is no longer in use due to all the problems it caused). this horrible IUD was known for uteran perforation. IUD's are actually quite wonderful now and the risks have very much gone away.
facts of IUD's....
Two kinds, the Mirena (hormonal and lasts 5 years) and the Paragard (non hormonal and lasts 12 years). Of course, you have to remember to go in to get it removed. They work by blocking the fallopian tubes and 'irritating' the cervical opening so sperm are blocked. the mirena does this as well as slowly releasing hormones.
Many docs won't put in an IUD on a woman who hasn't had children, reason being that she is 'tighter' and many times the IUD won't fit because things haven't been stretched out. An IUD CAN be inserted in a woman who has not had children. It is inserted while she is on her period because the cervix is softer during this time. There is still no guarantee that it will be inserted. The doc will do a sounding, measure how deep the uterus is, and if it is deep enough he can insert it. Two strings dangle off the end of the IUD, the doc will cut these strings so they hang just out of the cervix. You need to check that you can feel these strings every month, usually after your period, to make sure the IUD is still in the correct position.
When taking into consideration which IUD to get you need to be aware of what your periods are like when you are not on a birth control method. If you usually have heavy periods and bad cramps, the Paragard (non hormonal) is likely to make these worse. Women on the Mirena usually don't have a period, except for occasional expulsion of old blood (usually dark brown and there is nothing wrong with it).
As for switching from another birth control method. Have you tried other pills? Which pill are you on now? I don't know how birth control savvy your doc is, but there are a LOT of different pills you can try and most likely find one that is better suited to your hormonal needs.
anyway, most of this if probably info you already know. And this has been a very long post.
My point is, if you have a good doc and get all your facts straight, any birth control method is effective and safe. good luck on your choice, hope I helped a little.
maddie
ETA: as for Depo, the reason people are being encouraged to switch off of it is because of some studies linking it with bone density loss which can lead to osteoporosis. taking calcium and exercising regularly will usually combat this. after going off of depo the bone has been shown to regrow, but it is not yet known by how much. if depo is the only method that works for a woman (for example she can't have any estrogen due to migraines) then it is recommended she continue depo if it is the only method that works for her.