It would hurt like a mother, for starters. Depending on the type of bullet used, there could be massive tissue damage to your muscle, and it could shatter your bone. A number of large and important blood vessels run through the upper part of the leg, and if one of them got torn or nicked you could bleed to dead in minutes.
When you got to the hospital, the doctors would be required by law to inform the police of a gunshot wound. There would be an investigation into the event which could lead to criminal charges being pressed against you and/or the person that shot you, depending on how it happened and whose gun it was.
If you don't go to the hospital and the bullet is lodged in the wound, it could suppurate and fester, leading to a massive infection and blood poisoning that might require your leg to be amputated, or could kill you.
You may need to pay for physical therapy in order to regain full use of your leg. If you're working now, you would have to take time off in order to heal, and you may not get your job back. You may never heal completely, and you could have to walk with a cane for the rest of your life.
When you got to the hospital, the doctors would be required by law to inform the police of a gunshot wound. There would be an investigation into the event which could lead to criminal charges being pressed against you and/or the person that shot you, depending on how it happened and whose gun it was.
If you don't go to the hospital and the bullet is lodged in the wound, it could suppurate and fester, leading to a massive infection and blood poisoning that might require your leg to be amputated, or could kill you.
You may need to pay for physical therapy in order to regain full use of your leg. If you're working now, you would have to take time off in order to heal, and you may not get your job back. You may never heal completely, and you could have to walk with a cane for the rest of your life.