In short, and according to the WGBH Educational Foundation and the Harvard Medical School Division of Sleep Medicine:
Lack of sleep can, in the short term, "affect judgment, mood, ability to learn and retain information, and may increase the risk of serious accidents and injury"
In the long term, it may "lead to a host of health problems including obesity, diabetes, cardiovascular disease, and even early mortality". (We are speaking about a real long terman actual sleep deprivation here)
They have published a complete set of articles about that, the entry point is here.