From the NHS website:
Side effects of epidurals in labour
There are some side effects to be aware of.
An epidural may make your legs feel heavy, depending on the local anaesthetic used.
Your blood pressure can drop (hypotension), but this is rare because the fluid given through the drip in your arm helps to maintain good blood pressure.
Epidurals can prolong the second stage of labour. If you can no longer feel your contractions, the midwife will have to tell you when to push. This means that forceps or a ventouse may be needed to help deliver the baby (instrumental delivery).
When you have an epidural, your midwife or doctor will wait longer for the baby's head to come down (before you start pushing), as long as the baby is showing no signs of distress. This reduces the chance you'll need an instrumental delivery. Sometimes less anaesthetic is given towards the end, so the effect wears off and you can feel to push the baby out naturally.
You may find it difficult to pee as a result of the epidural. If so, a small tube called a catheter may be put into your bladder to help you.
You may get a headache after an epidural. This happens in about 1 in 100 cases and can be treated.
Your back might be a bit sore for a day or two, but epidurals do not cause long-term backache.
You may feel tingles or pins and needles down one leg after having a baby. This happens in about 1 in 2,000 cases. This is more likely to be the result of childbirth itself rather than the epidural. You'll be advised by the doctor or midwife when you can get out of bed.
For me personally, being required to lie in bed even after the birth is a big con - I loved being able to get up and walk pretty much straight away with my first. I also don't like the idea of not being able to feel contractions - having to be told what my body's doing is just an unappealing thought to me. That said, my contractions weren't really painful first time round and I found the whole process overall pretty quick and easy with just gas and air.
With regards my second, I'm planning on having no pain relief at all as I feel the gas and air didn't really help and I didn't like that it made me lightheaded. That's on the assumption that my next labour will also be easy, though, and if it turns out to be dramatically worse I'm not ruling an epidural out entirely.