Are all parasites bad?

Usually yes. A parasite by definition gets needed food or support at the expense of the host. This is different from symbiotic relationship where two organisms each benefit (see lichen for an example).
No. A whole host of so-called parasites, either protozoa or worms, are more often commensals, that is, they eat with you, not you.
Not necessarily. Most parasites, especially in small numbers, can live as commensals, that is, they eat with you, not you.