Hm the conclusion there appears to be that claims for it aren't based on research as there is very little, which the parent acknowledges.
The weight loss claims here are of course anecdotal, but it certainly seems worth a try, given that it seems perfectly safe. Presumably the worse that can happen is you simply pass it out of your system and it does nothing.
According to the research, unused MSM is processed by the renal system. In relatively high doses, no adverse effects were observed but I'd be cautious about effects which didn't get observed, especially from prolonged use for which there are inadequate studies. So the worst that can happen in passing it out of your system might be: http://en.wikipedia.org/wiki/Renal_failure
Ah, point taken! That wouldn't be such a good outcome :-)
I slightly regret the response now actually, I was being quite majorly hand-wavey, I guess the fact that there is a great deal of uncertainty here and the promise of easy weight loss has combined to provide some bias here :-)
There is no indication (neither anecdotal nor peer-reviewed) that this poses a problem. All the quackwatch page says is "Well we found no objections, but be careful nonetheless, even though there is no indication that it it's dangerous to take MSM". That's a speculative conclusion based on assumptions, not exactly what I would expect from someone debunking quack myths based on scientific reasoning.
In October 2000, the FDA warned [Karl Loren] that the long list
of therapeutic claims he was making for these products made them
drugs would be illegal to market without FDA approval. The letter
stated that the FDA had seen no evidence that the products were
safe and effective for their intended uses.
Absence of evidence that it's safe doesn't necessarily imply that it's unsafe. However, one should be cautious until peer-reviewed research on the long-term effects have been studied.