You should talk to your doctor about stopping the breakthrough bleeding. It is not uncommon, but also not normal. Remember to take an iron supplement to get your energy back while you bleed like this.
Other methods:
Ring (Nuvaring)
Implant (Implanon)
IUD (Mirena)
Condoms (latex and polyurethane)
Natural (Fertility Awareness Methids - FAM)
Pill (various)
Patch (Ortho Evra)
Sponge (less effective)
Pull-out - Very ineffective. Only use if you do not mind becoming pregnant.
Each method has its own pros and cons. Speak to your health care provider to determine what will work for you.