Wear goggles. A direct blow to the eye from a paintball can cause severe injury and permanent vision loss. I've seen this occur multiple times, usually when paint on the goggles causes a player to remove them for cleaning at the same time they get another shot to the face. Do not remove goggles during play!
Plenty of badness. A whole host of problems could result from this including a scratch on the cornea, a bruise on the eye, hemorrhaging within the eye, damage to the internal drain in the eye (putting you at risk for glaucoma later in life), damage to the pupil, intro cult inflammation, and retinal detachment, just to name a few. :(.