Common side effects of prescription sleeping pills such as Lunesta, Sonata, Ambien, Rozerem, and Halcion may include: 1  Burning or tingling in the hands, arms, feet, or legs. 2  Changes in appetite. 3  Constipation. 4  Diarrhea. 5  Difficulty keeping balance. 6  Dizziness. 7  Daytime drowsiness. 8  Dry mouth or throat.