Changing your password won't change anything else. I don't know why you need one, all of a sudden. FWIW, I have not entered a password either; I use a blank space. In 10.6, that will prevent you from using sudo in Terminal if you need temporary root privileges but other than that, there aren't any consequences that I can see, assuming that nobody has access to your computer.
If I need to run sudo, I go to System Preferences > Accounts and create a password. When finished, I change it back to a blank space.