The American Academy of Pediatrics suggests some risks for kids who use social media a lot:
http://news.consumerreports.org/health/2011/03/social-media-can-up-depression-in-kids.html
http://www.mb.com.ph/articles/311899/can-too-much-social-networking-cause-depression-teenagers
http://thegauntlet.ca/story/15445
http://www.newjerseynewsroom.com/science-updates/new-concerns-over-facebook-depression
How parents can help:
On the benefits and risks of social media:
http://www.medicalnewstoday.com/articles/220410.php
http://www.webmd.com/parenting/news/20110328/social-networking-may-affect-kids-health
And thoughts on the appropriate age for using social media sites:
and on the lack of privacy: