Probably the main reason not to do it is it is illegal and so there are numerous risks as a result: getting caught, fake stuff, scammers, and lack of medical supervision.
Depending on how heavy the cycle is (and I see many heavy cycles described as light or moderate on this board) you will need to be aware that coming off can be rough. This is the hardest thing to manage so you don't get all fucked up, lose your gains, and your gonads get messed up. The other thing is gyno is a bummer if you develop that. Aromitization (conversion of T to E) is more of a risk the older you get, too.
One thing about roids it can be an education in the workings of male hormones and so it is kind of interesting from that perspective. You may want to consider getting your hormone levels measured as a starting point, and then periodically thereafter. Once you are out of your twenties you have to watch your stress factors so your T levels don't get whacked (don't overtrain). Prohormones can be used to help keep your T-levels in the mid to high normal range most of the time, and the sides are generally mild. Use creatine, protein, etc. and with the right training and diet programs you should be able to make gains that will bring you close to your natural potential, although you'll never compete with the roid dudes. Check out
www.medlean.com for some sound and safe approaches along these lines.
When you get old and you really start slowing down your natural hormone production (at some point it will happen) AS may be safer than testosterone for a variety of reasons, but should still be administered under medical supervision like the other dude is doing with the T. At that point you are not cycling you are basicall in life extension and life quality mode and can probably just plan to be on for life.
When you start lifting when you are older there may be some limits to what you can expect. If you have a good foundation from when you are young, and then used some roids on top of that natural foundation, you might expect it will be easier to maintain that, when you are older using stuff like prohormones and stuff. The muscle memory effect is well known and true.
AS is kind of an extreme sport so primarily appeals to twenty somethings. Usually after about 30 dudes just want to keep looking good, at the beach and stuff. Steroids can help for that but only very light cycles are needed to give you that extra edge if you are doing other things right. Later in life, it is more of a health issue when natural levels just fall too low for good health.