After getting branded in the butt, Bam did indeed get an infection and had to be hospitalized.
Steve-O promised the Jackass crew that he would not do drugs during production of the film. He stayed sober during the whole film and even a little after the movie's release but eventually relapsed. He would eventually break his drug addiction again in 2008 and remain sober then on.
In the scene where Chris Pontius drinks the horse semen, the producers needed to censor him actually drinking the semen in order to prevent an NC-17 rating, it being deemed a "pornographic" act.
During the grand finale, when Bam Margera and Ryan Dunn are yanked off their feet by a running horse, Dunn suffered an injured shoulder that eventually developed a blood clot. Due to the clot's proximity to Dunn's heart and brain, it became life-threatening and required extensive treatment to keep under control. Soon afterwards, Dunn contracted Lyme disease. These two hazardous conditions caused him to spiral into a deep depression that lasted about a year, during which time he cut off all contact with his friends and eschewed the attention of fans.