If the colonies had stayed with Britain, Australia may not have become a Brit colony. After the successful American Secession, the Brits could no longer ship their criminals to Georgia and had to ship them much further, to Australia.
Also seems very likely the British Empire would not have expanded as much as it did into India, Africa and other parts of the world. North America would have taken up a lot more of its energy, seems like.
Settlement would have probably occurred more rapidly. The internal US tensions would probably have been damped, to a considerable extent. Had the US been part of a much larger entity, southern slaveowners would have had a lot less relative power. A lot less likelihood of a major civil war about slavery, IMO.
Interesting stuff to speculate about. Most likely outcome would be a united North America, a much larger and more powerful Canada, if you will.
There are much worse fates for a nation.