Are there any diabetes medications that have a higher incidence of side effects amongst women?

Thiazolidinediones. The tzds (rosiglitazone = avandia, and pioglitazone = actos) are used to lower Insulin resistance in patients with type 2 diabetes. They have also shown to have a higher risk of small bone fractures in post-menopausal women, not men. Also listed in the package inserts of these drugs are 'ovulation' as potential side effects because these drugs can restore more regular ovulation in women with pcos.
Probably. There probably are gender differences in the response to medications, however, this has not been well studied and it is common to start off with metformin in both men and women.