WI, after the Soviet Union collapsed, the nations of Europe agreed that there is no point to continuing NATO and agreed to end the treaty?
Also does the EU give security guarantees to the new EE democracies? Cause in the ten years or so for the Russians to sort themselves it might be nice to have something like that.
The UN would likely intervene in Yugoslavia. Kosovo would still be a part of Serbia. Georgia would be more ostracized. (South Ossetia and Abkhazia may be recognized by more countries- after all, the US wouldn't pay the Caucasus as much attention, and Europe may look askance on Saakashvili's treatment of the opposition.) Russia/US relations would likely be somewhat easier. Afghanistan would have more of an ad hoc international force, like in the Persian Gulf War or the Sinai. If the US redeploys its troops out of Europe, it might have had more troops available to send to Iraq, but also it might have lost a small bit more soldiers, due to no military hospitals in Europe.
No NATO might stop the Cold War from continuing.