I have side effects with my birth control pill?

I have been taking Yaz since I was 16 1/2. I have never had any problems related to it. I stopped 4 weeks ago because I was wondering if it was responsible for some of the side effects I was having (headaches 2-3 times a week that don't go away with tylenols/advils, my calves were getting red and tingling like bad circulation when I got out of a hot shower or when I exerted myself, anxiety/depressive symptoms that persist). Since stopping, I no longer have headaches, my legs don't tingle and my feet stay warm (before they were very cold). I am a fairly fit person at my healthy weight of 135 for 1m73. I can live with the symptoms but I am worried about the risk of thrombosis... I know there are other types of pills like Alesse. I don't really understand the differences between the pills and why one is favoured over the other... I took the pill for 8 years without asking myself too many questions because, without my fears of side effects, I found a lot of advantages in taking it.