Messy, especially if you're not used to applying them. Also, as stated above, spermicides aren't terribly effective when used alone, instead serving as an effective supplement to other methods. The Pill can cause some side effects, the severity of which depends a lot on the woman. Most are used in combination with a spermicide of some kind. The diaphragm is a dome-shaped rubber or latex cup with a flexible metal spring, and is available in various sizes.
Cervical caps are similar, but are much smaller.
Neither partner should feel it during intercourse. The diaphragm can be placed up to six hours in advance, and the cervical cap can be placed up to 48 hours in advance. A prescription is needed to obtain one, since it's important to get one that fits. A lot more time and energy is needed to both obtain them and use them properly than with most other methods, and without spermicides they provide no STI protection. Also, it's important to leave them in for a few hours after intercourse, but don't press the recommended time limit.