I would say the biggest "side effects" is that you can't shave or tweeze between sessions, since there needs to be enough hair visible for the electrolysis to work with. So you might have some visible hair still left, especially in the beginning (masks are a nice excuse for covering it up!).
You can also have some bumpiness or redness afterwards. Here are my tips for that:
Before tips
1. Avoid salty foods 24 hours before. The less water you retain in your skin, the less painful it will be and the less your skin will mark.
2. Exfoliate/clean your face beforehand to make your skin as dry as possible.
3. No moisturizer anywhere on your face 24 hours before
4. Sweaty exercise and cold water on the face can reduce water retention as well
After tips
1. Witchhazel astringent and aloe Vera (100% is ideal, or as close as you can get it) to soothe the face
2. Calamine Lotion can reduce pain and irritation
3. If you're really having marking afterward, my electrolysis specialist just recommended I try cortisone cream
The other big thing to keep in mind is that electrolysis is expensive and I've never heard of any insurance company covering it, because it's a "cosmetic procedure", even if it's caused by a medical condition like PCOS. My specialist does $100 an hour, $80 for 45 minutes, etc. She is very nice and does package deals where if I buy 3 appointments at once, I get one for free, so 4 appointments for $300 instead of $400. It's money either way, but it's the only thing I've found that has had any permanent effect and I'm starting to totally clear after about 3 months. You can send me a direct message too if you have more questions, I'm very happy to help.