I've tried all 3, ortho tricyclen for 2 years, depo provera for 3 years, and am now in my second year on the IUD. I've been lucky enough not to have any bad side effects with any them, so I have no advice on the problems your facing with your ortho. However, I can easily say the IUD is by far by favorite.
The pill is just a pain, too easy to forget.
Depo was very convenient (if you don't mind a shot every 3 months) and a great side effect was NO PERIOD (HOORAY!) but I've heard too many horror stories of massive weight gain to use it again. Also, it's recommended you only stay on it for like 2 years at a time then switch to another method (staying on it too long may cause fertility problems) so you'll be faced with choosing another method again soon.
The IUD is just fabulous. Quick and easy office visit, it isn't any more uncomfortable then getting a pap. I don't have a period with it either, I only spot real lightly for about half a day every other month or so. The downside is the inconsistency of the spot, I've lost some nice delicates. Most of the time though my boyfriend or I will pick up on my moodiness and know that it should be "that time of the month" (my hormones still kick into gear just no flo to accompany them) so I wear a panty liner for a few days to make sure I don't stain anyting.
The best part is this. Whenever you decide you want to have another baby, you can just take the IUD out and start trying immediately. Now the pill your to stop taking 6 months before trying to concieve, and depo your supposed to wait 18 months before you try, both because that's how long it takes your body to get back to normal when stopping use.
As with everything there are pros and cons, and whats best for some isn't for others, but I strongly suggest the IUD to everyone!