One of the major side effects of having them (at least for me)? Hair loss.
Seriously, I used to have really thick, coarse hair, to the point that people would atually marvel at it. Now? Well, I wouldn't consider it really thin, but over the past 10 years? It's gone from thick and coarse to relatively thin and fine. It's annoying, and also one of those "weird, makes no sense to me" types of side effects.