Yellowstone having a fit in the worse way possible would be bad, very bad, biblical-scale bad, the end of days, game over, bad for most of the US and the better part of Mexico. It could also throw the levers of climate the other way for decades, perhaps a generation. At least one source suggests that there would be global cooling, a possible die-off, perhaps an ice age. It would change things globally for a time.

The good news is that, based on the evidence I've seen, not that I'm a geologist, it doesn't look highly likely any time soon. But lots of people are watching. The USGS and US government earthquake centers are good sources of reliable information.

A useful site that is following the situation and doing a good job of explaining:
http://scienceblogs.com/eruptions/2010/02/the_structure_of_calderas.php