Never participated personally, but there was a well publicised incident in France this year of a clinical trial that went wrong, resulting in brain damage to one of the participants - [Link]

Apparently they're remarkably safe, the number of incidents are very low. Especially when you consider the nature of the experiments.

Downside is more the restrictions than side effects, as they want to eliminate as many variables as possible (No Smoking or drinking).

Avoid sleep studies which are never as easy as you think (i.e. its not getting paid for sleeping, its usually getting paid for not sleeping normally, which for a month can be a total c**t).

"One Nation Under God, has turned into One Nation Under the Influence of One Drug"
[Link]