I actually had the same problem with depo. I've been on it twice. The first time I was on it for maybe a year. I didn't have a period the whole year, but I did gain weight and had problems getting lubricated. I went off of it because I was at a point where I didn't want to have sex with anyone, so why bother with getting stuck every 3 months.
Then this last time I went on it was horrible. I bled off and on for the whole 3 months. My gyno gave me premarin on maybe 3 seperate occassions. It usually stopped my period after two days, but then a week later it would start right back up.
Finally, near the end of the 3 month period, she put me on bc pills. I believe it was orthro-novum. It made my period only come once a month, but it came for 7 days straight and on those 7 days I bled so much I thought I was dying. I even ended up going to the er. They switched the pills and the same thing kept happening. All the docs would say is the depo is still in my system and once it's gone, things will be back to normal.
Well, they're not. Now, I went on this last depo shot sometime in january 2003, I believe and my hormones are still messed up. I only get my period once a month now, but it's way heavier than it was before I went on the depo. And now it's seeming like i'm allergic to birth control or something. Will never take depo again, the pills make my periods really heavy, so what? Right now, all I use are condoms. At least with those I don't have to worry about month-long periods.