The purpose of this research study is to determine if megestrol acetate can be used as an appetite stimulant to improve weight gain in children with cancer and poor nutrition. The study design is a randomized, double blind, placebo controlled trial. Secondarily, we would like to determine what effect any improvement in weight has on body composition by DEXA scan. This includes whether the drug results in an increase in fat, fat-free mass, or both. If our patients gain weight we would like to know if it improves their quality of life. Finally, many children with cancer lose too much weight and require feeding to occur through a tube put down their nose into their stomach (NG feeding). The tube can be painful to put down and is uncomfortable when in. Some children may also require nutrition to be given into a vein (Total Parenteral Nutrition or TPN). We are trying to see if we can prevent these procedures from happening by having the subjects gain weight. This study will tell doctors if the drug truly works (or does not work) in children who are underweight.