This answer was to an earlier version of the question and is left here for historical reasons. If the question is successfully reopened (IMO it's in good enough shape, I VTR'd), then this answer should not be selected as the best answer.
Welcome to worldbuilding.SE, Pavankguduru. I'm delighted to answer your question, but I would like to point out that StackExchange expects you to follow two rules. (1) Your questions are expected to be objective and (2) You're expected to ask one specific question for the purpose of selecting one best answer. We're lenient with new users, so don't sweat it.
You're asking a type of question we love to answer here: is a specific rule of my world being consistently used?
Rule: On my world, when people remember an experience, that rememberance comes with all of the physical sensations that occured. If a person once burned their hand by touching a hot cooking pan, remembering the event will cause their hand to literally feel the sensation of burning again.
Members of our site are seeking clarification because your next question is very open ended. What are the possible side effects? For one thing, they can be anything you, the author, want. You're trying to get a better handle on this new idea, but you don't realize that this is not an objective question because everything is subject to your whim. Raw idea generation isn't well suited to Stack Exchange due to its basic design. Remember, you're expected to select a best answer. How will you do that? What criteria will you use? What conditions limit us, the answerwers? You've provided none of this information. Consequently, we can't tell whether any of the following examples are what you were looking for or not. We call this being primarily opinion-based and questions are frequently closed for not being well enough constrained. (Please read that link as our version of POB is a bit different from the rest of SE's use of the idea.)
Human consciousness is constantly allowing fragments of previous memory to flit across the stage. Almost every moment of our waking lives, little bits and pieces are bouncing around. This is part of the associative-memory building process. One possible side effect is being constantly plagued by the effects of memories. Moments of blindness, deafness, getting burned... all throughout the day and possibly night.
Memory results in the sensory effects, but not the more complex chemical and biological effects. For example, the memory of a heart attack would include all the tactile sensations, but not the actual attack itself. Memory of panic would include the restriction of vision and hearing that fear often causes, but not the adreneline rush associated with the panic. Memory of having the flu would remember the feeling of fever, but there wouldn't actually be a fever. This would cause the body a considerable amount of confusion as it trys to reconcile the superficial experience with actual behavioral conditions. That confusion could lead to mental breakdown as the brain tries to rationalize the lack of conditions that brought about the real sensations.
For reasons I hope are so obvious that they need not be explained, one side effect might be an incredible increase in sex addiction.
Generally, a better way to seek idea generation would be to ask if a specific application of your rule (either one of the above two bullets) would be realistic given the rule of your world. That is a more objective question as site participants give the reasons for their analysis. It also frequently results in the idea generation you're looking for without getting your question closed. In other words, please start with what you have ("here's a consequence of my rule that I've thought of, do you believe it's a consistent use of my rule?") and let us run with it.
If you really are stuck and need raw idea generation, that is something you should take to Chat. You'll frequently find some of our most active participants haunting the halls of the Factory Floor chat room. That's where you can ask pretty much any question you like — including raw idea generation.
Almost finally, you ask how imagination would work. This is a great example of what I just explained. It's a little POB because we don't have a rule that's as well defined as we would prefer, but IMO it's close enough.
Consistency Check [Imagination]: I believe the use or threat of imagination would be inconsistent with your rule because the the rule would require remembering exactly which nerves were utilized during the experience. In other words, having once burned my fingers picking up a hot frying pan, I will not be burned by imagining my toes burning because there's no associated memory of those nerves in use. However, if your imaginings include or incorporate actual memories (such as using the memory of burning your fingers as a child in an imagined adult circumstance), then the sensory effects would occur — basically because it's not imagination anymore.
Finally, Your title, which asks a question, does not match the body text, which asks different questions. Your title question is too broad (very, very, too broad, so I'm ignoring it rather than voting to close because of it). It is a common problem that the title and body text don't match, and it's something you should edit your question to fix.
You should get in the habit of using copy-and-paste to bring the question from your title into your body text. This will help you build good titles and good body text. It will also help you focus on asking one-specific-question (SE's model!). If you ask the question in your title, that should be the only question we're answering.
One last thing on the topic of your question. Your rule must involve one or both of two things: the nerves involved with the experience and the mental processing of the data those nerves are sending back. Every consequence or side effect will be the result of either (a) the inappropriate firing of nerves or mental processing at the time of rememberance or (b) the lack of things other than the nerves or mental processing that were also present at the time of the experience. Interesting concept. Thanks for sharing.