The hepatitis B vaccine is a very benign vaccine. The common side effects, such as soreness and fever, are mild and transient. The severe side effects, such as allergic reaction, are rare at less than one in a million cases.
There has been a great deal of research on the possible link between the hepatitis B vaccine and autoimmune diseases. The hepatitis B package insert mentions possible side effects, such as Guillain-Barré syndrome and multiple sclerosis, but then goes on to say that it is unclear if these side effects are vaccine related or just coincidental. Large research studies have also failed to find a link.