The coughing is a new one to me, but I used to call my Procrit a "baseball bat in a bottle." One of the rare (so nice to be unique, isn't it?) side effects for it is what they quaintly refer to as "flu-like" symptoms - in my case, muscle aches so bad that it felt like I had been beaten, along with nausea, vomiting, and fatigue. It usually lasted only about 24 hours. Then they wondered why I didn't want to take a dose every week.
I didn't have the same problem with Aranesp. Do you know what version of epo you were given? The different brands have different side effects, so it might be helpful to know which one.