In addition to the generic risks which are increased when women take oral contraceptive pills, such as an increased risk of cancers of the breast, ovary, endometrium, cervix and liver, high blood pressure, blood clots, stroke, pulmonary embolism, lower bone mineral density in premenopausal women (osteopaenia), headaches & migraines, cramps, bloating, nausea, miscarriage, vaginal infections, depression & loss of sex drive, women with PCOS who take OCPs worsen their underlying insulin resistance, the problem which causes the symptoms of PCOS, whilst masking those symptoms. 
This is an extract of an article written by Dr Warren Kidson, the Endocrinologist who instigated metformin treatment for women with PCOS in Australia.
The oral contraceptive pill:
For many years the oral contraceptive pill has been standard treatment for the polycystic ovary syndrome as it reduces the amount of male hormone produced by the ovaries, improving acne and body hair growth and, at the same time, giving women regular monthly artificial menstruation. It protects the woman from the possibility of developing cancer of the lining of the womb. However, recent studies in Singapore and Japan have not confirmed that women with the polycystic ovary syndrome have an increased risk of developing cancer of the lining of the womb.
Unfortunately, oral contraceptives aggravate insulin resistance and probably hasten the onset of diabetes by exposing the liver to very high levels of female hormones immediately after absorption on the tablet. A 1997 study of 98,590 nurses in the USA over a long period of time revealed that type 2 diabetes was 60% more prevalent in women taking oral contraceptives! Only half of the excess cases of diabetes knew that they were diabetic. If a woman is insulin resistant with PCOS, oral contraceptives could be expected to increase the risk of diabetes by at least 100%, and possibly by 200%. (END)
In addition, of course, there is the increased risk of breast cancer, especially in young women. The following article explains it very well:
http://www.natural-weightloss-programs.com/support-files/specialreport_estrogenoverload.pdf
This is not the original source of the quote from Dr Kidson, but it is along those lines: http://www.australiandoctor.com.au/news/d6/0c0310d6.asp
There is also some very good information at Mercola.com:
http://articles.mercola.com/sites/articles/archive/2004/10/27/birth-control-part-two.aspx
http://articles.mercola.com/sites/articles/archive/2000/10/29/birth-control-pills-part-two.aspx
http://articles.mercola.com/sites/articles/archive/2004/06/12/contraception-facts.aspx
Wylie Burke Oral Contraceptives and Breast Cancer: A Note of Caution for High-Risk Women JAMA. 2000;284:1837-1838
Dawn M. Grabrick; Lynn C. Hartmann; James R. Cerhan; Robert A. Vierkant; Terry M. Therneau; Celine M. Vachon; Janet E. Olson; Fergus J. Couch; Kristin E. Anderson; V. Shane Pankratz; Thomas A. Sellers Risk of Breast Cancer With Oral Contraceptive Use in Women With a Family History of Breast Cancer JAMA. 2000;284:1791-1798.
Parkin L, Skegg DC, Wilson M, Herbison GP, Paul C. Oral contraceptives and fatal pulmonary embolism. Lancet. 2000 Jun 17;355(9221):2133-4.
G. Clarke, S. McCoombe, R. Short. Sperm immobilizing properties of lemon juice Fertility and Sterility, Volume 85, Issue 5, Pages 1529-1530
Canadian Medical Association Journal October 16, 2001;165:1023-1029
http://www.ncbi.nlm.nih.gov/pubmed/10774107?dopt=Abstract
http://www.ncbi.nlm.nih.gov/pubmed/10715368?dopt=Abstract
http://www.ncbi.nlm.nih.gov/pubmed/8137525?dopt=Abstract
My PCOS Info 
Good post. You are an inspiration!