Would terrible things happen?

You mean while you're playing the file?

That's not possible, because the file would already be opened by Winamp (or other player of choice). So other processes can't write to it. Only read. So you can do the analysis while playing, but not apply gain.

Edit: Grammar

Yes, terrible things will happen if you try to ably the gain while playing.
You will not get a warning (only in the error.txt) that the file is unavaliable and the file will not be modified.

Since the last version 0.9.6, there should always be a warning at the end, and by opening the error log the involved files can be seen.
http://www.hydrogenaudio.org/forums/index....t=ST&f=2&t=3489

Wasn't aware of that...It tricked me once when I wasn't notified that the file was unavaliable... (must have been an older version).

Actually, Winamp opens files without putting a read-only lock on them, at least on my Win2K machine.
I specifically tested using MP3Gain on a file while Winamp was playing it. It worked just fine. It should simple enough to try it out on your own machine.

...and MP3Gain has always logged errors, but it was just in version 0.9.6 that I added the code to always pop up a message if any errors are written to the log.

I do it all the time and when MP3Gain changes the gain settings while I'll playing the song in winamp the playback volume will change (according to the MP3Gain value) a couple seconds after MP3Gain finishes with it.

@Snelg:

You learn something new every day. I stand corrected.

A little clarification: I went back and re-tested this just to make sure. It does work, BUT only if "Do not use Temp files" is checked in the "Options > Advanced..." screen.
When using "temp" files, once the modified version of the mp3 is finished, it deletes the original and renames the modified version to the original name. The lock Winamp has on the file allows the original file to be modified, but not deleted.