One bad thing is having to worry oneself sick about normal things. Christmas is a major example. Every year, the witlesses are worried sick that the Christmas songs are soon going to start, and that soon they are going to see every place lit up. A few seem to enjoy the lights, but too many of them believe that enjoying them, or even looking at them, is a sign that you are still not in compliance with Jehovah. All too many of them even shun certain foods associated with holidays, if only to avoid stumbling others.
Another is that it is a complete waste of time. Your day is chopped up into little tiny blocks. You get a big fat block of time, it is usurped for a big fat boasting session or day of field circus. All that's left is the crumbs--and they want you to give up even those.