Someone I know has seen a doctor about this, so my answer is based on what the doctor has told them and what they're doing.
Apparently sugars in general are even worse for people with PCOS than others. Even fruit sugars should be avoided. Avocados are an exception. Fruits traditionally thought of as vegetables are OK, such as peppers and tomatoes, due to their lower sugar content. But the diet should be very vegetable-centric. Most root vegetables are out, however, due to their starch. Regular potatoes are obviously out, but so are sweet potatoes despite their lower glycemic index.
I believe that cheese is largely OK. Hard cheeses, such as parmesan, are better than soft cheeses. This is because most of the sugars / carbs are consumed by the bacteria that create these cheeses. Milk itself should be avoided as far as I know, and you probably want to go easy on the yogurt.
Most grains are bad, especially wheat and white rice. Even grains with low glycemic indexes should largely be avoided, due to the way their carbohydrates affect hormone production in those with PCOS. Something like quinoa is great, since it's actually a seed not a grain and is high in protein.
I understand that weight loss with PCOS is difficult due to the effect of hormones and severe cravings, and the need to restrict virtually all sweet foods and staples like bread is difficult. Exercise is thus even more important. Based on the above, focus on leaf/stem vegetables and proteins -- nuts, eggs, meats (esp. fish) -- for good foods.