I was on Depo for ten years (from age 25 to 35) and loved it. The only negative for me was weight gain of about 2 pounds per year. Yes, that meant that I put on 20 pounds. Couple that with quitting smoking and you'll understand why I started poling: I'd put on 40 pounds! Which is all gone and now I weigh less than I did in college (from pole). Yea me. Not everyone can take Depo and the real disadvantage is: if you can't tolerate it, it's already in your system. There's nothing you can do about it until it wears off in three months. None of the docs required bone scans and nobody suggested the osteoporosis problem was an issue with me. I was also told it could be 6 months to a year before my cycles would return. No. The very next stupid month, I got my period. Grrr. I was all, "WHAT? I only got 23 days off? WTF?" Anyway, if your concern is weight gain, then I'd probably keep looking for something else.
Now I have a Mirena and love it. Mine is just about to expire, so I will be getting a new one in the spring (and I'll be 47 or 48 when that comes out, so hopefully it'll be my last). I had just about two very light 1-day periods and then nothing for the last five years. Once in a while, I'll spot a little bit, but that's not even worth a tampon. My body still goes through PMS symptoms (not badly though, but I've never had bad PMS) but I rarely bleed.
Nobody I've been with has been able to feel the wire/string thingy and I can't feel it myself whenever I go fishing to check for it. You're supposed to stick a finger up there once and month and feel for it to make sure it's still where it's supposed to be. I've never managed to find it, haven't bothered, and the doc isn't concerned about it at all. In fact, my OB/Gyn can't find it either. Sometimes they migrate a little bit. This will probably mean that removal will be tricky and a bit painful, but I pole dance; I have a very high pain tolerance. ;>) My point being, your doctor can trim it really closely so it can't be felt. I'll also say this: insertion is very painful, and disturbing your cervix by forcing dilation like that makes you not want to have sex for a while. It took me about three weeks before I was ready to get back in the saddle and even then, certain positions had to be done very gently and carefully. There was no slammin' monkey sex for about two months. Sorry if that was TMI, but I think you should get full details. ;>)
Regarding the Mirena and not having had children: My doctor told me that the risk is uterine perforation but that she's put hundreds of them into women who had never had kids and she'd never seen a uterine perf. That is extremely rare. Having your cervix dilated is what is so painful and the sounding they do when they measure the depth of your uterus. Use yoga breathing, hold the nurse's hand, go to your happy place... it's over in five minutes. They are also extremely expensive. My doc's office makes me pay cash up front so I got a price quote for my replacement next year and it's around $700 plus a $125 insertion fee, some of which my insurance covers, but not much. Insurance will cover the pill and depo but some insurances will not cover the Mirena. So the cost is a factor to consider, but you won't spend a dime on BC and you won't spend much on tampons/pads/what have you for the next five years after that so it evens out.
If you decide a Mirena is what you want, call around to different clinics to check on the price and check with your insurance company to see how much of what is covered. You should definitely do your homework with any form of birth control and remember: You are not the same as all other random women on the internet. Everyone is different and everyone tolerates different kinds of BC differently. Please take all our advice with many large grains of salt.