Switching from the pill to the shot

I am switching from the pill to the shot soon due to health reasons. It has been advised by many healthcare professionals that I do so I plan on doing so soon. I am wondering if there are any side effects that I should be worried about. Anybody else go through this? Any side effects of the shot? Anything I should be aware of? How long after the shot is it ok for me to have unprotected sex without high risk of getting pregnant?