I've never had the shot because what concerns me about it is that you get 3 months of hormones injected into you...And what if your body doesn't like it? It's not like you can just stop taking it, it's in you already.
I stopped taking bcp because they really affected my emotions, I got very depressed, and tried a few different kinds, all the same. I was with my boyfriend at the time who became my fiance and now husband, so my doctor suggested the iud. It is not recommended for people with multiple partners, it can be very bad if you get pelvic inflamatory disease with an iud and you're at greater risk of a pid with multiple partners. But for monogamous relationships it's safe and effective. It does have a bad rap from the 70's but is currently a very effective form of birth control.
But if you always use a condom why not supplement with foam, or diaphragm, or there's a new spermicidal film that you insert before sex...That way you're doubly protected without taking bcp which don't seem to be working for you.