Involuntary loss of a surge? Nothing. This came up recently, when we fought a room full of wights as our very last encounter of a long 'day.' We'd bypassed the room after our second encounter that day - if we hadn't, it'd've been devestating, forcing us to take an extra long rest, and giving the complex ample time to discover us. As it was, it was still quite dangerous, but we were able to rest afterwards, and it was the last combat of the adventure, as well, so only 'cleanup' followed.
A character with no surges can't spend a surge he doesn't have, though, and shouldn't be allowed step up to 'loose' a surge he doesn't have in a skill challenge or other situation where the party gets to choose which of thier party looses a surge. I'm sure there might be other situations where loosing a surge you don't have should have consequences. For instance, in an endurance challenge, if you run out of surges, you're probably exhausted, and have failed the challenge - but, if the DM let you try one more time, the 'loss of a surge' might then indicate comlete exhuastion and inability to continue.