A Bad Thing, written with capital letters for added emphasis (and with the words similarly emphasised when spoken) is something which has negative consequences for the subject under discussion. The opposite of a Bad Thing is a Good Thing. Very Bad Thing is an emphasized form, often seen as its plural Very Bad Things.
The phrase is familiar if not common in the United States. It achieved some visibility via the 1981Harold Kushner book When Bad Things Happen to Good People, followed by the 1998 movie Very Bad Things. Since in these two sources the Bad Things include death, in the US the term has come to be a sort of ironic euphemism for a serious problem whose consequences would be lengthy and horrifying to describe.
An example from a military dictionary (http://my.execpc.com/~pvmiii/military/mildict.html):
"Claymore: A directional command detonated mine that contains hundreds of steel balls. Standing in front of one of these things when it goes off is a Very Bad Thing."
A BadThing, written with capital letters for added emphasis (and with the words similarly emphasised when spoken) is something which has negative consequences for the subject under discussion.
Yeatman, which speaks of rulers who were Good Kings but BadThings, and has since become a mainstream idiom in the United Kingdom.
Since in these two sources the BadThings include death, in the US the term has come to be a sort of ironic euphemism for a serious problem whose consequences would be lengthy and horrifying to describe.