Many websites have side menus and I seem some have the side menu on the right and some on the left.
Which side is better?
For me, although I don't always like it, I think having the navigation that's important, on the left because this is where people look first. This might be the main menu or some kind of sub menu to navigate between sections of the website. On the right you can include another column of "menu" type stuff, like additional information or links to other related content (like SE sites). Also, having the menu on the left helps people to see the menu when they are using a smaller screen that doesn't fit all the content as browsers usually show the left side against the left.
Along the top if also another common location, which leaves the width of the site more wide open. It also ensure that users will see it first no matter the size of their screen.
Not only are the majority of users "left to right" language users, the majority of those are right handed, using their mouse with their right hand. I believe that from the neutral position of 'mouse hand straight ahead', greater angular movement is available to the left than to the right. Therefor the left margin is a better Fitts's target for most users. (Try it.)
Edit: Also, it turns out that Web users spend 69% of their time viewing the left half of the page and 30% viewing the right half. Jakob Nielsen's conclusion:"Keep navigation all the way to the left"
I've seen many places where you roll over one menu option, and it expands to reveal a sub menu. If this is the case, it makes sense that it should expand to the right, to be more natural to the reader (assuming they read left-to-right). If it needs to expand to the right, then it's best to anchor it to the left of the page.
If your readers read right-to-left, then it probably makes more sense to put it on the right side.
I used to be of the opinion that the menu should go on the left, until I read a piece that changed my mind. (May have been from http://www.alistapart.com/ but I can't find it with a quick search.)
The piece suggested that when people are reading a block of writing on your site, their eyes need to easily be able to find the start of the next line of text.
If the readers have any trouble with finding the start of the line (say, because of similar text in a menu near the start of the line), their reading will be interrupted (albeit only briefly). These interruptions might not be perceptable to the reader, but they do have a negative effect.
The trick is to keep the lefthand margin of your actual writing "clean" of debris and distraction, optimizing the readers experience.
On AListApart they do this by having just a graphic to the left of the text, plus lots of whitespace. Menus and other sidebars are to the right.
StackExchange sites to this too, by only having graphics and large text to the left of the questions, nothing that looks like paragraph text.
According to the study "When Left Might Not Be Right" published in Journal of Usability Studies either side will work.