If you help someone in combat and you lose, do you both get the 'bad stuff'
Both players must roll to run away separately, and any player that fails to run away suffers the bad stuff.

From the official rules


  If two players are cooperating and still can’t defeat the monster(s), they 
  must both Run Away. They roll separately, and each player chooses in what 
  order to Run Away. The monster(s) CAN catch them both.


and


  If you fail to Run Away from a monster, it does Bad Stuff to you, as 
  described on its card.