The only thing that can really go wrong with a plug wire is a break in the insulation. The insulation (the rubber on the outside of the wire) keeps the electricity where it needs to be so it sparks on the inside of your engine, not someplace else before it gets there. If the insulation is cracked, the spark will jump off the wire, or arc, onto something metal under the hood.
An arcing plug wire can cause a weak spark or no spark at all in the cylinder with the bad wire. This makes your car run rough and can affect your gas mileage. It can also cause unburned fuel to pass into the exhaust system where it can harm your catalytic convertor. There have even been stories that involve both a fuel leak and an arcing plug wire, resulting in a fire! It can happen.
A good time to check your wires would be while you change your spark plugs. So do a quick inspection and save yourself some headache. Here's how:
With your engine off, start at the distributor end of the plug wire and work your way toward the plug end. You're looking for anything that is not smooth, pliable rubber. Bend the wires slightly to be sure no cracks appear. Check the boots at the distributor end of the wires to be sure they are not torn or cracked. Finally, check the wires at the spark plug end one at a time by pulling it off the plug and inspecting the end for any tears or cracks. Also look to be sure there is no burning or darkening of the end.
If you find any damage, it's time to buy a new set. They can be as little as $20 or as much as $100+ for a set depending on your application. It's worth the cost, though. A bad plug wire can be a little monster, it can even trigger your Check Engine Light.