There were numerous negative effects of the Cold War. First, look at it in terms of war dead. Even though the war never became a "hot war," it did have several proxy wars and both nations helped launch revolutions. From the American side alone there were interventions in Korea, Cuba, Guatemala, Vietnam, Iran, and Afghanistan. The Soviets sent advisers and pilots to fight in the Vietnam War. Not only did this war cost American and Soviet lives, but it cost far more for the people who lived in the countries affected by these proxy wars. Millions of Vietnamese died during the Vietnam war and the period after it was the Communists "reeducated" the South Vietnamese. In Castro's Soviet-backed Cuban revolution, many people who were not direct combatants died too.
Look at it in terms of financial cost too. Both sides built up huge nuclear arsenals--money that could have been spent on social programs. Both sides also sent money to their respective governments in client states, essentially "paying them off" so they would not turn to the other side or giving them the means to wage war on the other side. This misguided foreign policy on both sides was a return to the militarization which was a cause of WWI and WWII.
Finally, look at it in terms of foreign policy today. Both America and the Russian Federation do not fully trust each other, even now. Russian politicians denounce America's stance as a human rights watchdog even as the public opinion on America's place in the world becomes more negative due to its role in the Middle East. American politicians complain of Russia's corruption and its expansionist policies in Eastern Europe. Even today the Cold War still poisons the relationship between these two nations.