Most of them are awful but only in rare cases do they cause permanent damage beyond what is already happening with the cancer and usually the patient can recover after the treatment is stopped.

Anything that stimulates the immune system runs the risk of increasing its sensitivity too much till it attacks normal cells and at that point, a lot of horrible things can happen ranging from a new mild allergy to neurological disorders like multiple sclerosis to acute organ failure.

Since the point of the therapy is to get immune cells to attack the cancer cells, there's the very real risk of instead targeting the tissue the cancer evolved from.