What are Finasteride side effects in women?

Finasteride is not FDA approved for women. Any such use is therefore off label and you'll want to be guided by a knowledgeable and experienced physician if this is a route you wish to take. Depending in your current age, type of hair loss and medical history and family history this may or may not be a good option.
Side effects of finasteride in women include, but are not limited to: harm to a fetus (finasteride can not be used in pregnancy), fatigue, weight gain, depression, anxiety, decreased libido, sexual dysfunction, hair shedding, breast tenderness, breast enlargement. Even changes in blood tests like platelets and muscle enzymes are possible - albeit rare.  Be sure to review thoroughly with your physician. Finasteride can be effective for some women and I continue to prescribe it in specific situations. You may decide together with your physician to consider other antiandrogens like spironolactone. 

I am unaware of many side effect of this drug that have been reported in women. Logically, body hair growth headaches and hot flashes may occur as this happens in post menopausal women