I'm with you on the megace - well sort of. I know all the side effects are really bad for my body and for that reason, I really wish there was something else that would work for me (but I kind of like not having a period, hehe).
Anyway, I tried marinol and it didn't work well for me as far as appetite. I also tried an old allergy med that supposedly has the side-effect of appetite stimulation - it's called Periactin (generic is cyproheptadine or something like that). It didn't work either. Finally, I tried the anti-depressant Remeron, which has the side effect of appetite stim. and helps you sleep, too. That one has worked pretty well in combo with a reduced amount of megace. But still, whenever I go completely off the megace, I lose weight.
That said, I know of at least a few people that marinol has worked well for. I would just ask your doc if you can experiment with some of the other meds (like those I just mentioned) and see if you can find one, or a combination of them, that works for your appetite while limiting the negative side-effects.