It depends on what you do, really. Walking through walls is a good one to get to places faster, but it won't harm your game unless you save in a wall and lose your action replay. That would be bad.
I know doing things like catching trainers' Pokemon, doing certain tweaks to wild Pokemon like forcing a certain gender or forcing them to be shiny, speeding up the day-care,can result in a component in the game known as Bad Egg.
Bad Egg, if you don't already know, is an anti-cheat measure in the game where it can supposedly screw up data when the game fails to checksum, or match up with the set calculations. I've personally never seen it go beyond simply existing in your PC or you Party, but that's just me. It shows up as an egg sprite, sometimes has Pokerus, and can also be fainted. I don't exactly know what happens when you throw it out to battle because I know you can do that, but I'm sure things **** up.
It is possible to get rid of it by placing it in a certain Box in the PC by using a code to remove all Pokemon in that Box or I think it's just removing one slot, but watch out for the Invisible Bad Egg. This Bad Egg is one you can't see in your Box, so if you have suspicion of it showing up, look for odd gaps between Pokemon that you didn't do or just click around until the icon picks up something invisible. Viewing its summery will cause the game to freeze, but you can make out from the frozen frame that it's a Bad Egg.
I suggest going to websites like Bulbapedia, looking up Bad Egg, and figuring out which cheats it says will cause it. The ones I listed are ones that did it for me.