I think there are 3 main brands of flu vaccine, with only the Sanofi-Pasteur brand being completely thimerosal free. The other two sometimes say preservative-free but thimerosal is used in the manufacturing process. So if your are pregnant, try to go somewhere that has the S-P vaccine. Also go somewhere reliable as last year the govt. found a small batch of "fake" vaccine. Actually I think it was "gray market" rather than fake but not sure.
The side effects usually are soreness in the shot area, low grade fever, and aches. However, my wife had a really bad reaction virtually right away including a headache, dizziness, and nausea that lasted over a week. I would have thought it was an allergic reaction to the eggs except she loves eggs and eats them all the time. The doctor had never heard of it and we couldn't find anything like it on the internet but just thought I'd mention it as a possible side effect. She is definitely never taking one again.