Side effects suck, and some suck more than others.
The question is what sucks less? The side effects? Or the illness?
Medication is about relieving whatever it is that ails you -- suicidal depression, mania, psychosis, whatever. The decision about what medication to take needs to be based on what will most effectively treat you, not on selecting side effects (with few exceptions).
This is a cost-benefit analysis, and the benefit almost always wins. Is a bit of weight gain worse than unremitting suicidal depression? Is a little sedation worse than psychosis? Are there other likely-to-be-effective options easily available?
Side effects that are bad for your general health (e.g. aplastic anemia), make an important/crucial life activity difficult/impossible, or going to do permanent damage to you are obviously not worth whatever benefit they bring.
For myself: I get great results from Parnate, and take it knowing that if I screw up the diet it could kill me, among other unpleasant side effects. It is still infinitely better than the depression I suffer without it. Nothing has worked as well as this and there's nothing left to try. More important, if I hadn't let the side effects get to me four years ago, and the idea that there must be something else as useful, I almost certainly wouldn't have lost those years to this illness.
And Jerod's great pages on the site:
What You Need to Know About Side Effects
http://www.crazymeds.us/SideEffects.htm
12 Steps to Stay on Drugs
http://www.crazymeds.us/12step.htm
Alas we cannot predict either effectiveness or side effects until we take the meds.
Fiona