I have two 1 gb 333mhz ram sticks. Are they compatible with a 400mhz motherboard? If they are, are there going to be any bad side effects? And what would the difference be if I put two 1 gb 400 mhz ram sticks instead? Not that I have any.

You may need to do some tweaking to get it working, you may not. 400 Mhz RAM is faster from what I understand.
But I'm probably wrong, so wait for the person who tells me how wrong I am to answer your question.

Naturally, 400 Mhz RAM is better than 300 Mhz RAM, however there are different aspects afflicting with this, so some good 300 Mhz RAM could be better, theoretically.

Thank you, but I already ordered some 400mhz sticks a while ago. They just arrived, I already put them in. Its doing about as well as the 333mhz ones. The only question I really had was if the 333mhz ones would be damaged in any way more that a 400mhz one if they were plugged into a 400mhz slot.

Your motherboard manual should show you what kind of memory is supported.
If these are working, then you're homefree, since memory sticks either work or do not work, so your motherboard definitely supports what you plugged in.