none in my experience. zoloft is a selective serotonin reuptake inhibitor (SSRI), whereas wellbutrin is a reuptake inhibitor of primarily dopamine and norepinephrine also. all three of these chemicals are associated with mood, appetite, sleep and pleasure, so its just about finding the right one for you. I had ZERO side effects while changing medications.
When coming off Zoloft, it is very important that it is done gradually. The side effects of coming off too rapidly can be very frightening.