The goal of this clinical research study is to learn if dexamethasone can help to control symptoms such as fatigue, pain, nausea, weight loss, loss of appetite, sleep problems, and/or depression in patients with advanced cancer.

Dexamethasone decreases inflammation and also suppresses the immune system.

If you are found to be eligible for this study, you will be randomly assigned (as in the toss of a coin) to receive either dexamethasone or a placebo by mouth in the morning and at night with food every day for 14 days. A placebo is a substance that looks like the study drug but which has no active ingredients. You will have an equal chance of being placed in either of the 2 groups. You, the medical staff, and researchers will not know to which group you have been assigned.

Beginning on Day 15 [± 3 days], regardless of if you were assigned to the dexamethasone or placebo group during the first 14 days, you will begin receiving the dexamethasone. On Days 15-21, you will receive dexamethasone 2 times a day. On Days 22-28 you will continue to take dexamethasone 2 times a day, but it will be at a lower dose level.

If you develop intolerable side effects while on this study, the medication will be stopped and you will be removed from the study.

You will be asked to return to the outpatient clinic on Days 8 [± 3 days], 15 [± 3 days] , 22 [± 3 days], and 29 [± 3 days] to answer a questionnaire about your cancer diagnosis, the medication you are taking, and the symptoms you are having (for example, pain, fatigue, nausea, appetite problems, sleep problems, depression, and your overall sense of well-being). The questionnaire will take approximately 30 minutes to complete. Blood (about 1 tablespoon) will be drawn to measure protein levels and to check the iron level in your blood. If you are unable to return to the clinic on days 8, 15, 22, or 29; the assessments will be done by the research nurse by phone; the blood work will not be done.

You will be considered off-study on Day 29 [ ± 3 days]. All study patients will have a 2 week follow-up on day 43 [± 3 days] after study drug has been discontinued, for safety and toxicity assessments. If you are unable to return to the clinic on day 43, the research nurse will do the safety and toxicity assessment by phone.

This is an investigational study. Dexamethasone has been approved by the FDA and is a commercially available drug. It is FDA approved at this dose level. Its use in this study, for this purpose, is investigational. About 160 patients will take part in this study. Up to 110 will be enrolled at the University of Texas (UT) MD Anderson Cancer Center. The other sites participating in this study are Lyndon Baines Johnson [LBJ] breast oncology clinic Houston Texas, and Four Seasons Hospice in Flat Rock, North Carolina.

Inclusion Criteria:

1. Present with 3 or more symptoms during the last 24 hours (Pain, fatigue, chronic nausea, and anorexia/cachexia, sleep problems, depression or poor appetite), with an average intensity of >/= 4 on a 0-10 scale, in which 0= no symptom, and 10= worst possible symptom,
2. No clinical evidence of cognitive failure as evidenced by Memorial Delirium Assessment Scale (MDAS) score of 13 or less at baseline
3. Must be 18 years of older
4. No longer a candidate for aggressive anticancer therapy-such as receptor blockers (Iressa, etc.) Patients on oral or palliative chemotherapy are eligible for study if approved by primary oncologist prior to inclusion. Patients who are receiving IV chemotherapy are eligible for study if approved by primary oncologist and they have completed 1st line of chemotherapy and are deemed stable by primary oncologist. The PI of this study will obtain and document approval from the primary oncologist in the patient's study documents.
5. Life expectancy =/> 30 days
6. Must understand and sign written informed consent
7. Patients on topical, or inhaled corticosteroids are eligible for study. If patients have been on oral corticosteroids for </= 7 days prior to inclusion of study they are eligible for study.

Exclusion Criteria:

1. Allergy to Dexamethasone
2. Inability to complete the baseline assessment forms
3. Patients currently taking Megestrol, and not off drug for > 7 days
4. Anemia as defined as < 9 hemoglobin
5. Known history of human immunodeficiency virus (HIV)
6. Neutropenia as defined by an absolute neutrophil count (ANC) of < 1500 cells/mm
7. Patients with a history of diabetes will be excluded.
8. All major surgeries such as thoracotomy etc., that requires wound healing within last 2 weeks
9. Those who are currently receiving oral corticosteroid therapy or who have been on corticosteroid therapy >/= 8 days prior to study inclusion
10. Sepsis and/or acute, chronic, or ongoing infections

Baseline up to Day 15

Grading of adverse events as per National Cancer Institute Common Toxicity Criteria (version 3.0).