Yea, the implant is fairly new... Most people I've heard who have it were pretty happy with it. The insertion is a little scary, as is the removal, but it lasts long enough that it is worth it (it lasts three years).
I believe it has a higher risk for blood clots/strokes and the most common side effect is constant spotting for the first half year. Some people have gotten it taken out after 6 months because they couldn't deal with the constant light period... after your first year most people stop spotting, and a good number stop getting a period altogether.
It IS rather new, so the clinical trials haven't been very long... but there shouldn't be any nasty surprises because it works just like normal contraceptive pills. If you're really squeamish about the thought of having a rod under your skin, it's not the BC for you... and if the thought of a few months of light bleeding sounds like too much to deal with, I would recommend something else (Nuvaring, patch or IUD, perhaps?)
Another issue with it is that if you're in the States, your insurance may not cover the cost of the insertion, implant, removal or all three...