According to Wikipedia:
The “law of unintended consequences” (also called the “law of unforeseen consequences”) states that any purposeful action will produce some unintended consequences. A classic example is a bypass — a road built to relieve traffic congestion on a congested road — that attracts new development and with it more traffic, resulting in two congested streets instead of one.
This maxim is not a scientific law; it is more a warning against the hubristic belief that humans can fully control the world around them. Stated in other words, each cause has more than one effect, and these effects will invariably include at least one unforeseen side effect. The unintended side effect can potentially be more significant than any of the intended effects.
A good example of this recently appeared in The Economist in an article about – of all things – oysters:
Oysters have relatively few natural predators: mainly starfish, which attach themselves to the shell with multitudinous teeth and patiently chew through, and the oyster drill, a species of carnivorous snail that attaches itself to a mollusc shell with a multi-toothed organ and inserts its proboscis, which releases enzymes that digest the creature in its home, making it easy to hoover up. Watermen once tried to defeat starfish by cutting each one they dragged up in half; unfortunately, since they regenerate, this doubled the starfish population.
Update: Another example from the same edition of the Economist, in a piece about birds in China titled The loneliness of the Chinese birdwatcher:
In 1958 Mao Zedong had declared war on songbirds, sparrows in particular: he claimed they consumed scarce grain. For three days and nights my neighbourhood, gripped like much of northern China by hysteria, had beaten pots and pans to keep birds on the move until they collapsed in exhaustion on the roofs and pavements of the courtyard houses. The consequence was a plague of locusts the next year that helped bring on a famine. “Suan le,” Mao had said when told that the anti-sparrow campaign was not working. “Forget it then.”
See also: Articles on Rationality