Before entering North Korea, we were told by our Chinese guide (who did not enter North Korea with us) what would happen if you decided to ignore the limitations and take a stroll outside of the allowed area.
Provided they don't stop you immediately, you'd be arrested, threatened, and then forced to pay in order to be released (the person who actually did do it had to pay $10,000 USD). If you are American, all bets are off, though.