As we all know very well..
whenever we create application inside silverlight it is asking us for hosting it
by dialogue box at given below.
My question is what if i unchecked the check box[Host the silverlight application in a new web site].
Means what kind of problem we have to face later if I don’t host our Silverlight Application in any of the option given by dialogue box.

Basically it is not a problem at all. You can add a website at any time later.
In the project settings of a website there is a
Silverlighttab. Under that you will find the option to add Silverlight projects to the website. This will setup the links to generate the XAP in ClientBin as well as giving you the option to create test pages for each Silverlight app added. The test pages will give you the sample JS you need to host your Xap later.