What are the side effects of pregnyl?

Few. Pregnyl (HCG) on its own is a fairly benign drug. Local redness and irritation, rare allergic reactions, and occasional headaches and irritability can occur.
Very minimal. Remember, Pregnyl is a brand name for the hormone hcg, which mimcs the midcycle LH surge and helps to initiate the final stages of ovulation. For the most part, side effects of Pregnyl would be the same as "side effects" of ovulation induction, other than possible mild irritation at the injection site.