There's also Proscar, which is a 5mg pill, rather than the 1mg Propecia pills, that you can cut into smaller pieces (most people cut it into four 1.25mg pieces for convenience's sake). There's also generic finasteride, like Finpecia, which I think is cheaper. Both are cheaper in the long run, but as I'm in the UK, I'm currently starting off on Propecia as it's easiest to get.
I've been on Propecia for three weeks now and had no side effects yet, but generally you hear that when someone has sides, they went away when they quit the drug. You do hear about people who got permanent sides, but it's really hard to tell how much of that's genuine or not.