DHEA is a steroid ring and these generally cause side effects. Currently, we are not aware of major serious side effects. My own personnal belief is to let others be the guinea pigs until definite research establishes the pros and cons of this drug. DHEA is the abbreviation for dehyroepiandrosterone. This is a steroid which is currently touted as a cure all.
Human studies are fairly limited.
There have been studies in HIV, Multiple Sclerosis, and Systemic Lupus patients. These have indicated an improvement in a feeling of well being without observed improvement in function or strength. In some women, there have been reports of virilizing changes-particulary hair loss and voice changes. Since, this is a steroid this isn't particularly surprising. I would recomment caution with this drug until further studies have been performed.