You've heard of the placebo effect, of course, but the converse has been observed as well. CGP Grey explains the "nocebo effect." When pharmaceuticals started being advertised on TV, under regulations that the side effects had to be advertised as well, I predicted that those side effects would become more common because of the nocebo effect. I don't know if there are any studies on exactly that, but I know some people who seem to develop every possible side effect when trying a new medicine. There are links to quite a few studies and stories on the nocebo effect at Metafilter.