The safest choice to be assured of accurate information is to go to the website of the company that makes your drug(s) and look at the prescribing information (PI). In a non-virtual world, this is the thin white paper with a lot of tiny print on it. You can read all the side effect information (from most common to least common) as well as curious things that may have happened to a patient or two during the company’s clinical trial for that drug.
Side effect information should have been provided with your prescription. It is now routine for pharmacies to include this. I would be concerned if you were given a prescription that did not include the PI or other (easy to read and understand) directions for things you should watch for.
You can get a free online subscription to Epocrates (which is what docs download into their PDAs) for a quick review of the various meds they might want to prescribe. It often includes cost information as well as typical doses for adults and peds along with comprehensive side effect information. I have it on my crackberry and it is invaluable.