Well, just having been sly for a couple of weeks so far -- the downsides I've noticed are 1) sunburns! (ouch -- then itch) Fortunately, I had a fairly minor one, but I can definitely see how bad they could be. I'm carrying around sunscreen in the car now.
And.. (2) the other thing that's never happened to me until going bald -- a mosquito bite right on the top of my head last night.
Other than these, I'm digging being shaved -- and posted my top things as a reply to another earlier post.