If you are married and file single instead of MFS or MFJ, you will need to amend your return, because it's wrong. You need to file a 1040X.
As far as what can "happen" to you, the IRS can catch you filing improperly, and assess you penalties and interest, depending on whether or not they decide you made a simple mistake (penalties and interest) or were intending to defraud the government (criminal charges and jail time). Yes, it is illegal, though normally most people just make the mistake out of ignorance.
Snipes