Naa, there is no side effects or anything really. You just need to be careful about infection and protect your grafts in the beginning. But I assure you there is nothing serious about it. Only, if you use Finasteride, it is said that it kills your sex drive but it is not a common problem.
I think what you should be careful with it, planning how you want to do it. There are many successful clinics and methods but it requires some research, dedication and patience to find your ideal surgeon. I think the biggest risk is choosing a clinic where you get too many grafts and you are convinced that the result is amazing. The trick is using the least possible amount while getting a natural and dense look. Also, you have to plan ahead too because if you use too many grafts for the first surgery when your hair loss progresses, you need another surgery but don't have hair supply left because an excessive amount of hair was used in the first surgery.
I think the most important part is finding a surgeon you can trust because there is a good chance you will going back to him after years. If you want to read more, this article is very useful to build a strategy to get the most out of your hair transplant journey.