"Privacy" had a different meaning when PGP got its name. Keyservers and the implications of publishing the names and metadata of people who signed your keys wasn't a well understood issue back then, but today it is a pretty serious privacy concern.
Since email addresses change, and "identity" is can be reasonably tied to legal name, birthdate and city of residence, I have a PGP entry up there with a little too much information, and signatures from some interesting characters.
A reasonable study of signature dates can be used to figure out where I was at what date, who I met with and what conferences I might have attended. I would like to remove my keys and play my cards a little closer to my chest, but I can't.
To the best of my knowledge, there's no way to remove the information, even if you have the revocation certificate. They'll just be stored with the revocation to indicate that your key was compromised.
I would be very happy to be wrong about this.
The downside to having unrevoked keys in the wild aren't too serious. It can look a little unprofessional, make you harder to find on a key server, and can lead to people sending you emails you can't decrypt. Aside from that and the normal concerns about your social network leaking through the web of trust, there are no serious issues.