Well, the short answer is virtually every piece of machinery and every gadget in common use would stop functioning, instantly. There are some few machines and appliances that do not require electricity, but they are very rare in the first world. Embedded electronics are nearly always easier and cheaper to make than mechanical alternatives, which is why they are ubiquitous in modern society.
There would be some catastrophic consequences. I think the biggest immediate problem would be all the vehicle crashes. Many vehicles these days are drive-by-wire and would be out of control. Some airplanes would be doomed because they don't have the mechanical systems to maneuver with literally zero power available, while others would be able to attempt controlled crash landings, though they would have no guidance to help find nearby airstrips. In aggregate, those sorts of crashes would result in a high death toll with many wounded people as well, most of whom would be unable to get timely care.
Water would stop flowing shortly, as the water towers drained and pressure in the mains dropped. Most people would run out of water soon after that, which would be a major problem in the cities especially. Depending on the time of year, no heating or cooling would be a major problem as well. Older or infirm people would be trapped in high rise buildings. Lots of people would die in the weeks following the electrical shutoff, like most of the people in the major cities, if only from starvation when the food trucks stopped delivering to the supermarkets. But I suppose I'm getting far afield from "immediate" effects now.
Another problem I just thought of is without pumps running continuously, lots of subsurface structures would flood. Subways, for example, or tunnels.
Some older diesel vehicles do not require electricity to run. They have mechanical fuel injectors, mechanical fuel pumps, and manual transmissions. I'm specifically thinking of the 12V 6BT diesel powered Dodge Rams that were made from 1989-1998, but there are probably others. Think 1980s and older.
You need the manual transmission to start the vehicle without a working starter motor, and since the vehicle won't shut off without electricity (without stopping the fuel flow by hand) it'd be easiest to just let it idle as much as possible when not in active use. In cold weather (below freezing, or even 40 degrees F sometimes) it would be very difficult to start the engine without the glow plugs or electric heating grid elements to get the combustion chamber temperature up.
Any diesel that doesn't have electronic injectors, and that has a manual transmission, could theoretically be modified to work without any electricity. But if the engine has electronic injectors, forget it, find something else.
Gas engines are off the table permanently. They simply do not work without some source of spark ignition. Early gas engines used magnetos instead of the current battery and alternator setup, but that's still electricity.
Explosions / Destruction:
In certain situations there could be steam explosions or similar high pressure gas explosions because the valves stopped opening to relieve the pressure in the system. Water in cooling systems in industrial plants that stopped moving could cause lots of problems when it finally boiled off and ruptured the pipes.
I'm not positive about what would happen in a nuclear plant if the power suddenly switched off; nuke plants are designed to fail gracefully, so to speak, but they would have no reason to assume power would disappear completely when they designed the failure controls. It's possible a steam explosion would open up the containment building, but I think the consequences of that would be very minor compared to all the other more mundane problems outlined above.
Wind farms would be in trouble, though. Wind turbines can only run so fast safely. If they were unable to turn out of the wind in a high wind situation, they would shake themselves to pieces. A failed windmill can throw pieces of itself hundreds of meters.
You might want to read John Ringo's Council Wars series, or at least the first book. In that book, there is a worldwide mechanism that sucks excess energy out of the world, which normally serves to contain things like explosions, but has other consequences later. It might give you some ideas.
Also, William Forstchen's One Second After deals with the aftermath of an EMP attack in detail, if you want to check that out.
S.M. Stirling's Dies the Fire and following books (Emberverse series, I guess it's called) also explores the concept.