Reinjection time frame
We found that extending the current WHO grace period  for reinjection of DMPA from 2 to 4 weeks does not increase the risk of pregnancy. The point estimate for the risk of pregnancy is well below 1% per 100 women-years for both intervals (0 and 0.4, respectively) with the upper bound of the 95% CI (1.88 and 2.29, respectively) below what is considered for the initial 12-month, typical-use pregnancy rate of DMPA (3%) (5)
A recent study (5) proposed that a grace period of up to 4 weeks from the time scheduled for the next shot won't result in a significant increase in unwanted pregnancies; the current grace period is 2 weeks. So if you miss your appointment to get your shot, as long as you get it in the following weeks, your chance of pregnancy is still considerably reduced.
Depo and Fertility
Depo doesn't appear to affect the longterm fertility of women who discontinue its use; nor is ir correlated with birth defects or miscarriages. Source
Depo and migraines
The available scientific literature indicates that combined hormonal contraception is safe with most headache subtypes. However, it should be avoided in women with migraine with aura and women with simple migraines who have other risk factors for stroke. Progestin only contraceptives as well as the copper intrauterine device can be safely used in women with migraines. Accurate classification of a patient's headache type can avoid unnecessary restriction of effective contraceptive methods, particularly those containing estrogen. (9)
Depo probably causes more weight gain (1):
Normal and overweight women increased BMI with DMPA use; however, obese women did not increase weight. Weight increase in DMPA users could be associated with metabolic alterations related to duration of use in normal and overweight women and to alterations already present in obese women. Prospective studies are required to determine triggering factors.
It should be noted that many previous studies failed to control for metabolism and baseline weight gain; this study grouped women into three categories based on BMI and concluded the above. This study is also interesting because their control and test groups were adults; while many previous studies were using adolescents.
There was no difference in mean age or weight between the groups at baseline. Women using DMPA or NET-EN throughout, or switching between the two, had gained an average of 6.2 kg compared to average increases of 2.3 kg in the (combined oral contraceptive) group, 2.8 kg in nonusers and 2.8 kg among discontinued users of any method (p=.02). There was no evidence of a difference in weight gain between women classified as nonobese or classified as overweight/obese in any of the four study groups at baseline. (8)
Depo makes you skip your periods(2)
We used published results from menstrual diaries to characterize and compare how LNG implants and [Depo] affect the menstrual pattern in the first year of use. We found that amenorrhea increased over time for [Depo] users but stayed about the same for LNG implant users across the four reference periods. The proportion of women reporting normal menstrual patterns was about twice as high for LNG implant users compared to [Depo] users. Finally, the mean number of bleeding and spotting days remained constant for LNG implant users but decreased over time for (Depo) users.
The above was quoted from a review of literature to determine the affect of depo and the implant on a woman's menstrual cycle. The authors of the studied noted that the results may be somewhat biased, as women who experienced very negative side effects would have discontinued use of the method and not been present in the data. However, anecdotal evidence from Depo users suggests that it is more likely to prevent periods than any other progestin-only method of birth control.
Depo and bone density loss
In recent years, observations of reduced bone mineral density (BMD) in current DMPA users have led to concerns that DMPA-induced bone loss might lead to osteopenia and increase the long-term risk of fractures — particularly in young women who have not yet attained their peak bone mass and among perimenopausal women who may be starting to lose bone mass (6)
In 2004, the FDA required that a black box warning be placed on the DMPA package labeling that states, “Women who use Depo-Provera Contraceptive Injection may lose significant bone mineral density. Bone loss is greater with increasing duration of use and may not be completely reversible. Depo-Provera contraceptive injection should be used as a long-term birth control method (e.g., longer than 2 years) only if other birth control methods are inadequate.” These statements may cause some clinicians and women to believe that DMPA should only be used as a short-term option (<2 years) (6)
The concern about (possibly irreversible) loss of bone density in women using Depo has recently been called into question. While concern about BMD and Depo has been published in many "casual" sources like newspapers and online - and even repeated by doctors - studies and reviews in the past few years are starting to conclude that our panic over Depo may be overdone:
A review panel of various experts in Canada was recently asked to review the data and come to a consensus about Depo. It come into the public eye and, combined with the black box warning about bone loss from the FDA and Canadian equivillant, had alarmed the public. The panel was asked to determine if Depo should be used for adolescants, if the black box warning was needed, and if a time limit was required, among other considerations.
The consensus position adopted by all the targeted medical associations determined that DMPA was a cost-effective contraceptive option that must be considered in the light of the clinical situation and preference of each woman. Candidates for injectable contraception should be informed that the use of DMPA is associated with a slight decrease in bone mineral density (BMD), which is largely, if not completely, reversible. There should not be an absolute limit to the length of time that the DMPA contraceptive is used, regardless of the woman's age. Monitoring BMD is not recommended among users of DMPA for contraceptive purposes. Finally, the consensus statement declared that, although supplements of calcium and vitamin D are beneficial for skeletal health for women in general, such supplementation should not be recommended solely based on a woman's use of DMPA. (4)
BMD consistently returned toward or to baseline values following DMPA discontinuation in women of all ages. This recovery in BMD was seen as early as 24 weeks after stopping therapy and persisted for as long as women were followed up; BMD in past DMPA users was similar to that in nonusers. (6)
One study reported that depot medroxyprogesterone acetate (DMPA) users were more likely to experience stress fractures than nonusers; this association was not statistically significant after controlling for baseline bone density. In cross-sectional studies, the mean BMD in DMPA users was usually below that of nonusers, but within 1 SD. In longitudinal studies, BMD generally decreased more over time among DMPA users than among nonusers, but women gained BMD upon discontinuation of DMPA. Limited evidence suggested that use of progestogen-only contraceptives other than DMPA did not affect BMD. (7)
Lastly, bone desisty loss may not be as much a concern for young women who have used Depo but also used other forms of hormonal birth control:
This study suggests that BMD is lower in long-term injectable users but not when women have mixed injectable and [combined oral contraceptive] use. (3)
The consensus had seemed to be that Depo does carry a risk of bone density loss if used over a long period of time. The truth may be less alarming than the public may think, but if a person has a family history of bone problems or other afflictions that may cause bone loss, than it may be wise to avoid Depo. It is fortunate that recent studies seem to indicate that the bone loss from Depo is reversible.
References (I know I didn't use the proper citation format, but its good enough ;) )
1. "Variations in body mass index of users of depot-medroxyprogesterone acetate as a contraceptive "; Contraception vol 81 issue 2, Feb 2010
2. "Menstrual pattern changes from levonorgestrel subdermal implants and DMPA: systematic review and evidence-based comparisons " ; Contraception vol 80 issue 2; August 2009
3. "Bone mineral density in young women aged 19–24 after 4–5 years of exclusive and mixed use of hormonal contraception ", Contraception ; vol 80 issue 2; August 2009
4. "The use of depot-medroxyprogesterone acetate in contraception and its potential impact on skeletal health" ; Contraception vol 79 issue 3 ; March 2009
5. "Injectable contraception: what should the longest interval be for reinjections? " ; Contraception vol 77 issue 6 ; June 2008
6. "Bone density recovery after depot medroxyprogesterone acetate injectable contraception use" ; Contraception ; vol 77 issue 2 ; Feb 2008
7. "Progestogen-only contraception and bone mineral density: a systematic review" ; Contraception ; vol 73 issue 5 ; May 2006
8. "Prospective study of weight change in new adolescent users of DMPA, NET-EN, COCs, nonusers and discontinuers of hormonal contraception" ; Contraception ; vol 81 issue 1 ; January 2010
9. "An evidence-based approach to hormonal contraception and headaches " Contraception vol 80 issue 5 ; November 2009