If nothing else, thumb sucking can have a pretty negative impact on teeth.
The American Dental Association says:
> After the permanent teeth come in, sucking may cause problems with the proper growth of the mouth and alignment of the teeth. It can also cause changes in the roof of the mouth. The intensity of the sucking is a factor that determines whether or not dental problems may result. If children rest their thumbs passively in their mouths, they are less likely to have difficulty than those who vigorously suck their thumbs. Some aggressive thumbsuckers may cause problems with their baby (primary) teeth. If you notice changes in your child’s primary teeth, consult your dentist.
Wikipedia has a decently sourced article on the subject.