Depo-provera shots

So I went into the doctors the other day to get on some birth control, I had never been on any ever but I recently started being sexual active again so I thought it was time. I went in thinking I was just gonna be put on a pill and all would be well but when asked about blood clots and genetics me and my mom told her about my dad having a pulmonary embolism which is basically a blood clot in his lung and when that happened they ran a bunch of tests including genetic ones but never found a cause. Well my doctors was concerned so she talked about the regular three options and I didn't know which would be best but my mom thought the shot was the best option and I was pretty much sold when she said "No periods" but now I'm nervous about it for some reason. So what do you guys know about the shot? And if you have taken it what was your experience like with it? I think knowing more would put my mind at ease.