Alli™ is the first (and currently only) non-prescription weight loss drug available that has been approved by the FDA. The medication comes in capsule form and is taken with each fat-containing meal. (If you eat a meal that doesn't contain any fat, you should skip that dose.) Alli decreases the absorption of fat in the diet by binding to the enzymes that break down fat molecules. Possible side effects include stomach pain, an urgent need to have a bowel movement, and gas.