Thiazolidinediones are more easily referred to as TZDs or glitazones. Compared to the usual first-choice drug for type 2 diabetes (metformin), the TZDs are significantly more expensive.
Remember that drug names—both generic and brand—may vary depending on country and manufacturer. In the U.S., rosiglitazone is sold as Avandia; pioglitazone is Actos. This is just a brief overview: consult your physician or pharmacist for full details.
How do they work?
In short, TZDs increase glucose utilization and decrease glucose production, leading to lower blood sugar levels. They sensitize several tissues to the effect of insulin. Insulin, among other actions, helps put circulating blood sugar into our muscles, fat cells, and (to a lesser extent) liver cells. So blood sugar levels fall. Thiazolidinediones (aka TZDs) make these tissues more sensitive to this effect of insulin. Insulin also suppresses glucose production by the liver, an effect enhanced by TZDs. They reduce insulin resistance.
TZDs may also help preserve pancreas beta cell function. Beta cells produce insulin.
They reduce both fasting and after-meal glucose levels. Fasting blood sugar drops and average of 40 mg/dl. Hemoglobin A1c falls by 1 to 1.5% (absolute, not relative).
TZDs tend to improve blood lipids: lower triglycerides, higher HDL cholesterol, decreased small, dense LDL cholesterol. Pioglitazone has the more pronouned effect.
On a cellular level, they activate peroxisome proliferator-activated receptor-gamma, so they are sometimes referred to as PPAR-gamma agonists. Pioglitazone also affects PPAR-alpha.
Uses
TZDs can be used alone or in combination with insulin, metformin, and sulfonylureas in people with type 2 diabetes.
Dosing
Note that onset of action is delayed by several weeks, perhaps as many as 8-12 weeks.
Pioglitazone: Start at 15-30 mg/day by mouth. Maximum dose is 45 mg/day.
Rosiglitizone: Start at 4 mg/day by mouth. After 8-12 weeks, dose may be increased to 8 mg/day.
Side effects
Weight gain is fairly common, through both fluid retention and increase in fat tissue. Weight gain with pioglitazone, for example, is around 6–12 pounds (3–5 kg). Mild anemia and puffy feet and hands (edema from fluid retention) are also seen. Fluid retention may ultimately cause congestive heart failure. This drug-induced fluid retention does not respond very well to fluid pills (diuretics).
The combination of insulin injections and TZD may increase the risk of heart failure.
Some studies suggest that rosiglitazone increases the risk of heart attacks, heart failure, and death. That’s why the Food and Drug Administration in 2011 drastically curtailed use of the drug. The FDA re-examined the date in 2013 and decided that rosiglitazone didn’t increase cardiovascular risk after all.
Preliminary data suggest a link between bladder cancer and pioglitazone.
TZDs are associated with increased risk for broken bones, perhaps doubling the risk.
Macular edema—manifested by blurry vision—may occur infrequently.
When used as the sole diabetic medication, TZDs do not cause hypglycemia. But when used with insulin injections or insulin secretagogues, low blood sugar can occur.
Don’t use if you . . .
. . . have a significant degree of congestive heart failure or active liver disease. Even a history of heart failure may be a reason to avoid TZDs. TZDs should probably not be used in women with low bone density or anyone else prone to fractures.
Updated December 26, 2013
Diabetic Mediterranean Diet 
Doesn’t rosi increase absolute LDL levels overall, though? I wonder how much that goes towards explaining the difference between rosi and pio with respect to cardiovascular outcomes.
According to UpToDate.com:
Lipid changes overall favor pio over rosi.
With pio, LDL chol tends to hold steady; with rosi, LDL is up 8-16%.
HDL chol up 10% with both.
No one knows with certainty how this affects cardiovascular outcomes, except the CEOs and marketing directors of the two companies that make the drugs.