Is it ok to kill guards?

I do know I can kill them using a bow and nobody will care, if I don't get noticed.

Does it have any side effects? I do know that they "help" me when a dragon attacks, but they are useless and I have to kill the dragon myself. Is it ok to kill all the guards? will they re-spawn?

Guards do respawn, so if they don't notice you killing a guard it doesn't make that much of a difference.

You can pretty much kill everyone you like in Skyrim, however there are consequences if you are caught. If you kill a guard without anyone seeing you, you will have no witness to the crime, and should be in the clear.