Q:

How do I say 'On second thought' in Spanish?

How do I say "On second thought" in Spanish?

Pensándolo bien, ¡no vamos al cine!

Are there any alternative for this?

A:

The expression «pensándolo bien» is a very good translation and pretty common.  Also «pensándolo mejor».
Some alternatives:

reconsiderándolo
por otro lado (sería mejor)
ahora que lo pienso (suggested by Alexis and SysDragon)
repensándolo (suggested by Diego Andrés)
si lo pienso (bien/mejor) (suggested by Diego Andrés)
al pensarlo mejor (suggested by vartec)

(I'll keep posting if I remember more)

A:

Pensándolo bien, the one that you gave, is the most common in my opinion, but you could also use:

Pensándolo mejor, ...
Ahora que lo pienso, ...
Mejor pensado, ...

And some sentences that should be used with context, but can have similar meaning:

Ya que lo dices, ...
Ahora que caigo, ...

