Discovery Channel had an episode on it a while back, here's the webpage to the show http://dsc.discovery.com/convergence/supervolcano/under/under.html
Here's what they say would happend if it erupted
There is no argument that a major eruption at Yellowstone in modern
times would be devastating. It would obliterate the national park and
nearby communities, spread ground-glass-like volcanic ash from the
Pacific coast to the Midwest, and cause worldwide weather changes from
the airborne dust and gases, according to Smith, who described the
potential effects in detail in his book Windows Into the Earth, published in 2000.
A modern full-force Yellowstone eruption could kill millions,
directly and indirectly, and would make every volcano in recorded human
history look minor by comparison.
Sleep well tonight