Formal:
* A Catch-22 (implies a paradoxical situation where any choice leads to negative consequences)
* A Pyrrhic victory (a victory achieved at a great cost)
* A dilemma
* A trade-off
* A compromise
* A mixed blessing
Informal:
* A win-lose situation
* A lose-lose situation
* A no-win situation
* A blessing in disguise (sometimes)
* You can't have your cake and eat it too
* Two sides to every coin
Figurative:
* A Pandora's box (a situation that releases unforeseen problems)
* A Trojan horse (something that appears beneficial but has hidden dangers)
The best alternative will depend on the specific context and the tone you want to convey.