If there were a pill that could help you lose weight, odds are you'd consider trying it. You might be less inclined if it worked by keeping you from absorbing fat, leading to some nasty — and oily — intestinal by-products. That's the big pro and the big con of Alli, a new over-the-counter version of a prescription drug, orlistat. One more caveat: don't expect Alli to work miracles on its own; users who lost the most weight on the pill also stuck to a low-calorie diet and regular exercise program.