Ha ha - What happens if you try to purchase from Steam while on VPN? =D
In the past, they outright banned your account. Disabling all access to purchased games.
These days, they probably restrict your account. You can play your current games, but cannot purchase new ones, trade, receive gifts, use the market place, use (some) community features, or activate retail keys.
Just don't ever do it. I know someone who did that accidentally; it took them several months to get their account back.