I'm torn between the two... IUD or Depo shot... which is more effective?

I'm torn between the two... IUD or Depo shot... which is more effective?
Well, I've heard the shot has more side effects.and I got pregnant with and IUD, so I'm not crazy about either!! But all things considered, I think I'd go with the IUD, not as many side effects.
I had lots of problems w/ IUD it was like I could fell something there, and I swear my husband got poked by the strings when we were having sex. After I had it removed, I hemorraged really bad(soaking the thickest tampon I could find in like 10 minutes) It was a terrible experience for me. I've never taken the depo shot. I know that after 5yrs most of my friends put on a little weight. Good luck to you!