The vaccine has a history of causing a few problems -- a history that can be easily dismissed amid the concern about a terrorist-induced smallpox epidemic. Here are a few images from the CDC. You can go here for more: http://www.bt.cdc.gov/Agent/Smallpox/VaccineImages.asp
Accidental auto-inoculation of eyelid with vaccinia virus with concurrent cellulitis. Photo courtesy of John M. Leedom, M.D.
Eczema vaccinatum in an unvaccinated contact to a vaccinated sibling. [from Fenner F., Henderson DA, et al. Smallpox and its Eradication. WHO. 1988].
Progressive vaccinia (vaccinia necrosum), which was fatal, in a child with an imunodeficiency. [from Fenner F., Henderson DA, et al. Smallpox and its Eradication. WHO. 1988].