STDs asside, IUD's are not 100% effective. I personally know someone who got pregnant with one and, let me tell you, it is not an experience you want to go through. Especially if you live in a no-abortion state.

The cool thing about contraceptives is that their efficiency is multiplicative. If an IUD is 98% (2 in 100 failure rate) effective and a condom is 80% (20 in 100), you now have a 99.6% (0.4 in 100) effective rate, or a 1 in 250 chance at getting pregnant in a year of regular sex. So, on average you get pregnant once every 125 years.