Hi Sophie,
I had the depo injection for a long time but decided to switch to the implant as I had been on it (injection) for so long I was unsure of how long it would take before I was fertile again. (Want to have a baby in the near future) The injection was the best thing I have had so far. One shot every so often (6 weeks, I think) and I didn't have to worry. I can't comment on the infections as I'm Diabetic and get thrush more often than I should!
I think you're very right when you say you can try it and have it removed if it's not for you. It's not the most pleasant thing to have done, in or out but if you want to try it, go for it.
My humble offerings would be to a) warn you of the really quite odd feeling of having a matchstick just under your skin. I couldn't forget about it no matter how hard I tried and b) the awful effect it had on my libido. And I've spoken to quite a few others that it affected. It didn't just decrease it slightly, it totally put me off and I couldn't think of anything more repulsive.
I have been put on the mini pill now and am rubbish at remembering it but if I didn't want a baby soon I would have the injection again like a shot. Excuse the pun!
I seem to have been a bit negative, and not really answered your question direcly, sorry. As Gem said, we're all different :)