I had a miscarriage in September '03. This time, I made my doctor appointment as soon as I found out, and at 6 weeks, they discovered my progesterone levels were low. Mine was 13.3, and they wanted it to be in the 20's, so I was prescribed 400 mg of oral Prometrium twice a day for the rest of the first trimester.
I didn't notice any ill effects from the meds, but as someone else said, it's difficult (especially as a first timer) to distinguish added problems from regular pregnancy symptoms. I'd heard that it caused weight gain, but that wasn't the case for me.
I'm currently at 22 weeks, and everything looks good so far. I've had way, way more ultrasounds than normal, but that's because I was classified as high risk in the beginning.
It's your choice in the end whether or not to take the Prometrium. I don't know why they'd put you on it if your levels are normal, but maybe they just want another level of assurance against miscarriage. My doctor said that there weren't any problems to speak of if your levels get to be higher than normal, but levels that are too low often cause women to lose the pregnancy. I wasn't willing to take that chance.
I know how stressful it is to be worrying every minute that something might go wrong. Take care, and good luck!