What diuretic has the least side effects? Hctz (hydrochlorothiazide) gave me some weird side effects (lethargy, chest tightness, anxiety).

All effects. Any medication can have side effects- if you need a simple diuretic ask your pcp to prescribe low dose chlorthalidone- if you cannot tolerate it, you are probably sensitive to the entire class of diuretics.
Need for diuretic? Hctz (hydrochlorothiazide) is a better blood pressure medication than a strong diuretic. Side effects are usually minor. Other diuretics are stronger with more side effects (furosemide, bumetanide, etc) i would strongly advise to ask your doctor why and what for is he prescribing diuretics.