Eventually it'll separate at the ball joint & start making some really nasty clunks, I suppose the worst case scenario could be having it come apart & jam the rod into the CV boot, snag a brake line, or somehow, if you have exceptionally bad luck, wedge itself between some immovable part of the chassis/suspension & the steering knuckle & jam the steering. I've never seen anything that catastrophic happen though, usually the clunking from the worn link gets so annoying that people replace them before they break, as just a tiny amount of play will be enough to give that telltale clunking, long before it breaks. Bottom line - if it needs to be replaced, do it as soon as you can.
-Chris