The ethical concerns about the Milgram experiment are too varied to go into much detail here (if you're interested, http://books.google.com/books?id=U44OAAAAQAAJ&pg=PA193 ) but the short, relevant, version is that the psychological impact was positive, not negative. 84% of those surveyed (out of 92% who participated) reported that they were "glad" or "very glad" to have participated in the experiment.