As any other intervention hair transplantation can give you side effects. However the side effects of a hair transplant are usually fairly minimal and can be easily treated.
Some temporary side effects of a hair transplant can be headaches because the procedure manipulates the scalp area, bleeding (in small amounts) it's normal, numbness, scalp tenderness, temporary thinning of pre-existing hair.
Another less common side effect is swelling which usually occurs around the forehead and the eye area. This swelling normally lasts two to five days. Itchy scalp after the surgery is another one...