Technically, when you do a remodel or addition that is unpermitted, any modifications should not be counted when you get the house appraised. So, if you start off with a 1200 square foot 2BR/2BA house, and add an unpermitted 300 square foot bedroom suite, an appraiser should only consider it to be a 1200 square foot 2BR/2BA house, and not a 1500 square foot 3BA/3BA house.
Also, when you sell the house, you have to disclose that the addition was unpermitted. If the buyer finds out after the fact that the addition was unpermitted, they can come back and sue you for non-disclosure of that fact, with the damages being how much less the house would be worth if the addition did not exist.
If the city or county find out that the addition is not permitted (one of your neighbors turns you in, or an inspector just happens to be touring your neighborhood when construction is going on), they can halt construction and require you to get the required permits. This may also require demolition of some of the construction already done, to inspect things like foundation footings, electrical, plumbing, etc. They will then charge you at least double the original permit fees as a fine.
Or, they may require that you make the addition unusable. For example, I toured a house for sale that had an unpermitted bathroom in an outbuilding. And, the seller wanted to make sure everything was legally permitted by the city. But, rather than require the seller to rip out the unpermitted sewer line from the toilet, they required him to pour cement down the toilet drain, rendering it useless.
Also, if you have some work done that is not permitted and you have a fire or something, this additional work probably wouldn't be covered by your insurance. And, if the addition actually caused the fire (faulty wiring or whatever), your insurance company can refuse to pay altogether.
Bottom line: not getting proper permits is not worth the savings of not having them in the long run.