Directly from the fine print of the insert:
At the recommended dosage of clomiphene citrate, side effects occur infrequently and generally do not interfere with treatment. Adverse reactions tend to occur more frequently at higher doses and in the longer treatment courses used in some early studies.
The most frequent adverse reactions to clomiphene citrate include ovarian enlargement (approx. 1 in 7 patients), vasomotor flushes resembling menopausal symptoms which are not usually severe and promptly disappear after treatment is discontinued (approx. 1 in 10 patients). Adverse reactions which occur less frequently (approx. 1 in 50 patients or more) include breast tenderness, nausea and vomiting, nervousness, insomnia, and visual disturbances. Other side effects which occur in less that 1 in 100 patients include headache, dizziness and light-headedness, increased urination, depression, fatigue, urticaria and allergic dermatitis, abnormal uterine bleeding, weight gain, ovarian cysts (ovarian enlargement or cysts could, as such, be complicated by adnexal torsion), and reversible hair loss.
Thromboembolic events, such as pulmonary embolism, arterial occlsion, and phlebitis, have been reported rarely in patients treated with clomiphene citrate. It is not clear what, if any, relationship these events have to clomiphene citrate therapy.
When clomiphene citrate is administered at the recommended dose, abnormal ovarian enlargement (see "Precautions") is infrequent, although the usual cyclic variation in ovarian size may be exaggerated. Similarly, mid-cycle ovarian pain (mittelschmerz) may be accentuated.
Ok, that's the technical part, and it is probably far more than you wanted to know. For me personally, I have had headaches, breast tenderness (nipple tenderness, actually, which is not real fun since I am still nursing my 2 year old daughter!), and frequent urination. All worth it if I get pregnant again! With my daughter, we got pregnant on just one round of Clomid, but I just did my third round and I am in the two week wait, but my temps are all over the place so I know I am not pregnant. :-(
Best of luck to you!