Simple belief in a god does no harm by itself, but it is rarely simple and it rarely comes without company.
Imagine someone who really believes that God watches over them at all times, and judges their human failings harshly. This person might be absolutely convinced that they're going to Hell. They'd be depressed, they'd have low self-esteem and they might even try something drastic to redeem themselves, like going to Burma to fight with the Karen. Even if they don't, it's a miserable life.
Imagine someone who believes in the Buddhist concept of reincarnation. This person might look at an infant who is horribly deformed because of some genetic disorder, and rather than pitying the poor child, think, "I don't like her. She must have done something really terrible in a past life to be reborn like that."
Imagine someone who believes that if you martyr yourself for Allah, you will wake up in heaven where 72 virgins...well, you know where this is going.
There is often a logical path from simple beliefs to harmful thoughts, and tragic actions. Not everyone takes this path, but it's always there for the taking. It's a matter for debate whether the benefits of religion are unique to religion, but it's a lot more believable that religion is a critical part of such exotic and dangerous reasoning.
No. Atheism by strict definition is the lack of a belief in gods, but it's generally extended to the lack of a belief in any supernatural entity or substance. That includes ghosts, spirits, souls, angels, demons, vampires, elves, boogeymen, unicorns, phoenixes and the energies of karma, chi, the Holy Spirit, life-force or The Force.
I've never heard an atheist say "I don't believe in anything." Atheists don't neccesarily believe there is no god. Many are simple without a belief in God.
Here is more on the definitions of atheism and agnostic.
You're question is one of those questions that is generally on the "how to annoy an atheist" list of questions. Such questions are highly silly. Do you actually think we don't believe in anything? Don't you see how we can have beliefs about food preferences, clothing preferences, and entertainment preferences? And not have beliefs in gods?
There are literally hundreds of gods you don't believe in. I don't believe in those either. We are atheists in reference to all of those gods.
"I just believe in one fewer god than you do. When you understand why you dismiss all the other possible gods, you will understand why I dismiss yours.” - Stephen Roberts
Enjoy this video on what Pat Condell believes: