Hola APIPMARTIALART

You could, but it would sound very unnatural to say it. We prefer to simplify it and omit the word "cosa" and say:

Lo malo de...

Lo bueno de...

Lo mejor de...

Lo peor de...

With the neutral article "lo" and the adjective in the singular masculine form, this would mean:

the good thing about..., the bad thing about..., the best thing about..., the worse thing about...

You may want to have a look at this Kwiziq lesson on neuter article lo + adjective. 

Saludos cordiales

Inma