Stunted growth
Increased risk of HIV, Hepatitis
Increased risk of Male Pattern Baldness
Hypogonadism (shrinking of testicles, etc…)
Increased risk of bodily hair growth
Elevated blood pressure
Elevated LDLCholesterol (Bad Cholesterol)
Lowered HDL Cholesterol (Good Cholesterol)
Addiction
Increased Aggression
Enlargement of the Left Ventricle of the heart (which can cause cardiac issues)
Liver Toxicity
Edema, or water retention
Increased risk of stroke
Increased risk of Heart Attack

Male Side Effects

Prostate Problems: Some AAS convert to Dihydrotestosterone or variants of that hormone, and can enlarge the prostate causing problems urinating or even prostate cancer.
Testicular atrophy: Since AAS mimic the male hormone testosterone, the testicles can shrink as a result of their no longer being needed to produce the hormone.
Gynecomastia: This female-like breast tissue development in males is caused when steroids aromatize, or convert into high levels of estrogen .
Sexual Dysfunction: Some steroids can cause sexual dysfunction and temporary impotence.
Reduced reproductive function: AAS can cause a reduction in sperm count, resulting in decreased ability to reproduce.
Male Pattern Baldness: The genetically patterned loss of hair on the scalp caused by the AAS conversion into Dihydrotestosterone or its variants.

Female Side Effects

Facial and Body hair increases
Thinning of the hair on the scalp
Deepening of the voice
Clitoral Hypertrophy (an increase in the size of the clitoris)
Menstrual cycle irregularity (leading to decreased reproductive function)

Adolescent Side Effects

Although any of the general side effects, and gender specific side effects can also happen in adolescents, there are also some side effects which their undeveloped bodies are more susceptible to.
Certain AAS can stunt growth by prematurely stopping the lengthening of bone tissue and fusing growth plates. This causes a decrease in overall height, as total height potential goes unreached.
An increased rate of bodily maturation. The final adult bodyweight and overall size can be achieved though the user is still too young.
There is an increased risk of psychological problems due to the underdevelopment of various parts of the brain.