What will happen at worst if I change the "Number of values" of CCK field I have a CCK text field and set "Number of values" to a certain number.
Now I want to change it to "Unlimited".

It says

Warning! Changing this setting after data has been created could result in the loss of data!


What will happen at worst if I change this? 
The values of already existing nodes might be really gone as it says?
If yes, there is no way to change this to "Unlimited" if I already have some existing nodes?
Changing it to unlimited isn't going to cause an issue. It's a standard warning message for any change on that setting for a field.

So really the only time you would be concerned is if you took an already unlimited field and set it to a static value, which could potentially remove values if the delta of that field on a node exceeded the static value.

Edit: But always be sure to take a backup before doing those kinds of changes, and always do this on a development environment.