I spent a bit of time looking into various appetite suppressants but never bothered with them in the end. However I did learn quite a lot!
The whole idea is appetitie suppressants effect the hypothalmus , the control centre of the brain. Normally the hypothalmus tells the body to give off hunger signals. One of the most commonly used substances to interupt these signals is Phenylpropanolamine, by interupting the signal its hoped that appetite is somewhat curbed, you eat less and ultimately lose weight.
The only problem is that these also have side effects that the advertisers (obviously) are not that forthcoming in telling you! Some of teh side effects include nervousness, irritability, headache, sweating, dry mouth, nausea and constipation.
Just thought I'd give you a head's up so you can make the right decision - This is a good article by a professor from Vanderbilt University I would reccomend you read before you spend your money...
http://www.vanderbilt.edu/ans/psychology/health_psychology/ppaweight.htm