That's not uncommon for the first shot. After about the second or third shot, many women stop all of that crazy bleeding. After one year of use, many stop bleeding altogether. However, you might experience the crazy bleeding when you decide to stop depo as well. Make sure your ob-gyn knows all about your symptoms.
I was lucky enough to stop my period as soon as I got the shot and not get it again the entire time I was on Depo. When I stopped Depo, my periods came right back to normal. I have heard many horror stories of bleeding for long periods of time though.
I read that one ob-gyn estimated that half of his patients who started depo, stopped it after only the first shot because they found side effects unacceptable.