As was mentioned, an audible click will be heard (and felt). Advice I adhere to is to ensure that when dry firing you are in a separate room from any live ammo. Check and recheck that the gun is not loaded before dry firing of course. Never assume the gun is not loaded.
It's a great way to work on trigger control and even to smooth out new triggers a bit. I dry fire whenever possible to work on keeping the gun completely still when the trigger breaks (harder than it sounds).
I also use snap caps from time to time just to practice clearing and slide work, etc.
As Bob O mentioned, after you pull the trigger you actually only need to move the slide back about 1/2" to reset everything to dry fire again. A bit of a pain but not too bad.
Just be safe, dry fire in a room that contains no live ammo and check one more time than you think is necessary!