If you are required to file a tax return and you do not, you are subject to a $135 penalty and may lose any deductions or tax treaty exemptions that you would have otherwise been eligible to claim. In addition, failure to file a tax return may have an impact on your ability to obtain an entry visa to the U.S. for future visits and/or application for Permanent Resident Alien status.
If you are required to file a tax return the best thing to do is file the tax return on time!