I am starting a new mage character that will complete the quest for Harkon and then kill all the other Vampire Lords. Has anyone done this yet? I am curious as to the consequences. I know that if I don't get all the side quests done before I kill everyone, then I can't do them, but is there anything else?

You lose access to a few good merchants and trainers. Both factions give you some really nice merchants and trainers, so if you're going to kill the Castle merchants and trainers you might as well side with the Dawnguard and have access to theirs.

And if you want to be a Vampire Lord and a Dawnguard that option exists after the DG questline...sort of...

The only castle residents that may be killed (without siding with the Dawnguard, as you may kill every courtier then) are Hestla, Ronthil, and Rargal Thrallmaster. Rargal is the only non-merchant.

However, if you're on PC... http://skyrim.nexusmods.com/mods/25137/?tab=4&navtag=%2Fajax%2Fcomments%2F%3Fthread_id%3D800382%26mod_id%3D25137