Yes, as with all medicines, there are small risks attached to taking the contraceptive pill although these are thought to be outweighed by the benefits in younger women.
For some women there will be a small increase in the risk of developing a blood clot, high blood pressure, and breast or cervical cancer. When the pill is stopped these risks generally slowly disappear. However, the contraceptive pill seems to lower the risk of endometrial, ovarian and colon cancer.