Like Alex said, it's the same thing just one is brand name and the other is generic. It's like getting Tylenol vs. CVS-brand acetaminophen. Or Fruit Loops vs. grocery store brand Fruit O's.
Most people who get brand name prescriptions I have noticed have some kind of provision for it in their health insurance. I have a friend who uses gel and his insurance will pay for it, but only if it is Axiron. I'd imagine somebody out there has insurance that springs for Depo because of some manufacturer agreement.