I have not gained weight with mine, but I have not lost it either - I waited until 3 months after my daughter was born to have it put in, but since then I have not lost more than a couple of pounds (which keep coming back) of my pregnancy weight even though I am breastfeeding. My daughter is 11 months old and I am still breastfeeding multiple times a day. You would expect this to burn lots of calories... of course, I'm not the best about watching what I eat all the time, but I think I usually do a decent job. I've enjoyed not having a period for the last couple of months though.
I hate to even wonder this, but have you taken a pregnancy test? It's supposed to be 99% effective, but supposedly it can get expelled without you really realizing it. Just a thought - best of luck!