The ideal is that a drug causes no side effects, it seems they almost all do.

Here is a good link to a description about Alesse and it is all worth reading; scroll down a few pages and it lists most of the side effects and how seriously you should react to them.

The big point is that you contact your prescriber with these effects. They deal with these calls and want and expect that you will report them, so that they can adjust, alter, or change the prescription.

Please call them, you can even request being taken off and put on something else. That is another thing they are used to, don't be worried about calling them, it is part of their job.