What are the consequences of building without a permit?
This wil depend on where exactly you live. There're many possible outcomes, including the following:


nothing bad happens
you can be fined
the house can be demolished and you'll have to pay for that
you'll be forced to go through the "proper channels" later
you'll face minor or major problems when you try to sell/lease/insure the house


Also don't forget that the codes can impose some limitations that are specific to your exact location. For example, the maximum height or pressure onto the ground could need approval from some certified state organization.

So if you ignore the procedure the following could happen. You will not know that you house will be limited in electric power or pressure onto the ground (since that data is not obviously available until you contact the organization responsible for that) and you'll only face problems when it is too late - so you will be unable to heat your house properly or it will excert too much pressure and collapse and even damage the surrounding buildings. Or your neighbours might file a lawsuit agains you because your house casts too dense shadow on their land.

The bottom line is - consult a qualified specialist in your location. Building without permit might be a Very Bad Idea™.