Many things. If you are pregnant, the fetus gets its vitamins from you. If you have low levels, they will become even lower and you will have low energy levels. If the baby has low vitamin levels, it can lead to birth defects, especially low folate (folic acid) levels. This can lead to neural tube defects. Vitamins play a very complex role in the body. If your doctor recommends a pnv, I would take it.
Increased risk. Prenatal vitamins are formulated both to provide the expectant mother with what she needs herself, and to provide certain nutrients that decrease the risk of certain birth defects. Most notably, the extra folate (folic acid) decreased the risk of spinal cord defects in babies. Does this mean that if you don't take them your baby will have a spinal cord defect? No it doesn't. But the risk will be increased.