~Nothing, unless they have psychological issues like doing it in public and not understanding, or being told it's "dirty".
~there are no side effects to this. However, if you're parents concider is shameful or wrong, you can have side effects from them, such as lowered self esteem and an unhealthy sex life when you become older. This is all psychological and not actually from doing it, but how others treat you for it.
~Side effects are relieving boredom, helping you go to sleep, relieving tension/stress, relieving erections, learning what you like sexually, opening your sinus' (yes, it's true), education (one of my gf's took some of my sperm and put it under her bro's microscope).That's just some I thought of right off.