I'm going through this -- I'm on anti-convulsants which cause thinning hair. I'm horribly self-conscious about it. I can't even wear it in a pony tail or anything like that because it's so obvious. For the time being, my stylist recommended using a vitamin, biotin. You know, that "hair skin and nails" stuff? (My nails are also pretty brittle). I'm going to give that a shot and see if it does anything.
My doctor actually suggested rogaine.