I just thought I would add to this, having had 2 Implanon rods now for 5 years pre-conception.

It really does depend on your body I think.
I had no bleeding at all from the time it was put in until the last 6 months of the life of the implant (they last for 3yrs) when I bled for most of that time.
I found it affected my moods a bit (in retrospect) I was like a flat line and a bit depressive.
No weight gain or headaches.

My biggest problem was getting the second one out. (sorry, to say this after it's already in LOL ) It is usually a simple local and then a small inscision to pull it out, but my second was inserted into the muscle by mistake. It moved about 5-10cm up my arm within a month of having it inserted and I would recomend that if this happens you get it looked at straight away! It took a lot of work to find the thing (2 ultrasounds) to get it out, 2 surgeries leaving a huge scar and shooting pains a year later. Unfortunately a similar thing also happened to a girlfriend of mine when it was inserted incorrectly.
So, just be aware that if it moves it's position in your arm, get it checked out ASAP!!

Other than that it is just soooo convenient and no periods was soooo nice but I won't be having it again to avoid the depression.