In von-Neumann machines, side effects are things that make the machine work. Essentially, no matter how you write your program, it'll need to do side-effects to work (at a low level view).
Programming without side effects means abstracting side effects away so that you could think about the problem in general -without worrying about the current state of the machine- and reduce dependencies across different modules of a program (be it procedures, classes or whatever else). By doing so, you'll make your program more reusable (as modules do not depend on a particular state to work).
So yes, side-effect free programs are a good thing but side-effects are just inevitable at some level (so they cannot be considered as "bad").
