Nic, I've tried a lot of multivitamins and supplements and, to be honest, I just don't know how effective they are. I lost my hair several years ago after coming off the pill (Dianette) and in desperation I tried loads of things. The hair loss was hormonal and related to my PCOS, and someone recommended Saw Palmetto to me. It's an anti-androgenic and it inhibits the production of dihydrotestosterone - often responsible for hair loss and thinning. I've been taking it ever since and my hair has grown back (nowhere near as thick as before, though!) so it could be worth a try if you think the thinning is hormone-related.
I also take one tablet of the multivitamin Perfectil each day, and a couple of H&B's EPA fish oil concentrate 1000mg capsules. Again, no real idea how efficacious they are, it's just become a habit. My skin's a lot clearer these days than it used to be, but I really do think that's probably down to having a clean diet and eating so much fruit and vegetables. I know that my symptoms of PCOS have virtually disappeared since I lost the weight, so I think the food I'm eating must take the credit for that. If I have a day where I don't eat as much fruit and veg as I do normally, I really do feel the difference - much less energy and more sluggish feeling.
I think if you're eating a reasonably balanced diet you don't have to worry too much. Go by how you feel!