To compare the effects of megestrol acetate and placebo on body weight, anorexia, cachexia, calorie intake, and nutritional parameters of patients with a confirmed diagnosis of AIDS. To characterize dose response in relation to weight gain. To determine whether megestrol acetate relative to placebo improves the perception of well-being among AIDS patients with cachexia. To evaluate megestrol acetate's effect on immune function via skin test reactivity, T4/T8 ratio, and total lymphocytes.