Fortunately, when you're writing speculative fiction such as fantasy or sci-fi, you don't really have to worry about what's right or wrong. As the powers you've described don't exist in our world, there's no single answer to your question. It's up to you what your characters experience when they use their powers. If you're stuck for ideas, try looking at existing characters with powers for inspiration, as you'll often find that they have limitations in common.
Telepathy: Mind Reading, Mind Control and Communication in fiction - Often associated with headaches, particularly on lower levels. People with weaker powers can usually only focus on one power at a time, whereas those who have mastered the skill can communicate telepathically on a mass scale. A good example is Professor X of X-Men fame.
Heightened Senses in fiction - Too much stimulation can result in sensory overload, and magic can cause interference. DC Comics' Superman has extremely enhanced hearing and vision.
Becoming a Werewolf - Writers often portray transformations as being associated with loss of self-control and loss of memory, and as rarely voluntary. See Remus Lupin from the Harry Potter series, Van Helsing from Van Helsing and Jacob Black from Twilight.
Being a Witch - In most stories about witches, there aren't many side-effects referred to as being associated with sorcery, although spell-casting is often described as exhausting for the caster.
