OUTLINE: This is a randomized study. Patients are stratified by performance status, dominant site of disease, and prior treatment with megestrol. Breast cancer patients are randomized to one of 3 doses of oral megestrol (800, 1,280, or 1,600 mg/day, divided qid). Female patients with other tumor types are nonrandomly assigned to receive oral megestrol at 1,600 mg/day. Male patients are nonrandomly assigned to a dose-finding study of megestrol. The first patient cohort receives megestrol at 480 mg/day in 3 divided doses, with further escalation for subsequent cohorts as tolerated. All patients continue therapy for at least 8 weeks, with treatment discontinued upon progression. Measurable lesions are evaluated every 2 months.