Hormonal contraceptives possess unique additional (non-contraceptive) properties that offer potential health benefits and help maintaining good quality of life. This review presents the existing notions about molecular mechanisms of the direct and side effects of combined oral contraceptive pills (COCPs), and gives a generalized classification of synthetic progestins. A new illustrative scheme, showing the androgen and corticoid properties of synthetic progestins, is presented. Main principles of the individual selection of hormonal COCPs are discussed.