I also mentioned heart problems, but I limited my response to only those side-effects Lazare mentioned in order to stay on-topic.

Side effects of Oestrogen-containing contraceptives that don't seem to be caused by Progestin-only contraceptives include:

Increased risk of cancer

Increased risk of heart disease

Bone density reduction

Blood clots / Stroke

Increased sensitivity to UV (and associated skin cancers)

Reduced breast-milk production. This isn't very detrimental to one's own health, but does effect the health of the child.

The only down-side of Progestin-only pills versus Oestrogen-containing pills is that it is extra important that it be taken at the same time every day for full efficacy. Obviously the implant doesn't suffer from this drawback.

I know every geek here research the hell out of everything... and so i don't trust even my doctor when he/she can't show (or i can't find later) pertinent and well controlled studies before messing something in my body. i'm pretty sure you did your research, but those articles and discussion here shouldn't be taken as 'proof' of anything as the comment i replied to sounded to imply.

also, i have a paranoia that no hormone/protein/enzyme does less then a few things in your body. if they list only one or two effects, it's because they have no clue what else they do.

prolactin was believed to only affect the milk production in mamals for a long time (and water-salt control in fishes). now there's some other dozen effects on the body including neuron fiber formation.