A group of researchers from Department of Neurology, Kuang Tien General Hospital in Taiwan decided to compare the efficacy of acupuncture and steroid treatment in patients with carpal tunnel syndrome.

They found acupuncture to be as effective as steroids and improved symptoms such as pain, numbness, tingling, weakness and clumsiness. Acupuncture improved sleep and was significantly better than corticosteroids at reducing awakening at night experienced by carpal tunnel patients.

Mayo Clinic: Because oral corticosteroids affect your entire body instead of a particular area, this form is the most likely to cause significant side effects. Side effects depend on the dose of medication you receive. Within days or weeks of starting oral therapy, you may have an increased risk of:
Elevated pressure in the eyes (glaucoma)
Fluid retention, causing swelling in your lower legs
Increased blood pressure
Mood swings
Weight gain, with fat deposits in your abdomen, face and the back of your neck

Acupuncture is very safe when administered by a qualified practitioner. Side effects are extremely rare and usually mild. It is a clear winner, especially for patients who are health conscious or can not tolerate steroid treatment.

Reference: The Clinical journal of pain, 2009 May, Mayo clinic