Like all pills you have a higher risk of thromoembolism ie blood clots or a stroke
so you need to watch out for a severe pain in your calf, or a really bad headache or blurred vision.
Other serious side effects include liver damage.
Then your less serious but fairly common side effects include; weight gain, headaches, loss of libido (sex drive), breast tenderness, mood changes, nausea and spotting between periods.
It can make depression worse if you already suffer from it.