It's crucial to first know what you want to achieve with your sidechain. But most of the time you would like to create a sidechain mainly to preserve some protocol independence from the main chain (e.g. Rootstock, which offers some enhancements to Bitcoin's scripting abilities) and obviously because of the scalability advantage. Otherwise, you could simply use a coloured coin.

If you want both advantages, then you need a mechanism to counter sidechain 51% attacks, like KingZee already wrote.

I'm however not sure if - apart from merged mining - a mechanism like Komodo's "Delayed Proof of Work" could not work with sidechains, too. However, this requires a semi-centralized design with specialized "notary nodes", which may have the same problems and drawbacks of all masternode/DPoS-based systems.

What you could also do is to let the main chain nodes validate the newest blocks of the sidechain without requiring to store or validate them entirely. But in this case you sacrifice some of the scalability and independence advantages. And, obviously, this can only be done if the feature is supported by the main chain protocol.