It's bad for the transmission itself. Normally when you shift from 1 to 2, you're disengaging one gear then engaging another gear. Reverse is not like that at all. Reverse means one gear is engaged, then the reversing gear is engaged in addition to that. Ideally you are supposed to do this when the gear speeds are synchronized, and the gears are synchronized when the car is stopped. Switching between forward and reverse while the car is rolling is equivalent to driving a manual and changing gears without using a clutch and without synchronizing the speeds. *grind*
In an automatic, a few things can happen. One is that the car makes a loud BANG noise when it changes directions. That's the sound of your transmission expressing how much it dislikes you. Another possibility is that it simply grinds away the clutches inside the transmission and you don't realize it's damaging it. Another possibility is that the electronically controlled transmission will not attempt to change direction until the speed is within an acceptable speed range.
In every manual transmission I've driven, one cannot change direction while it's rolling. It just doesn't allow the stick to move into any of the forward gears while it's rolling backward. When mythbusters tried doing it the other way around, forward to reverse, the same thing happened to their manual. It'll make a bunch of grinding noise but it will not change no matter how hard you want it to.