What are the consequences of using unlicensed fonts?
I know that whenever somebody makes something and we want to use it, it is better to contribute to them and pay for it. But I have nothing to hide: I have used fonts illegally a few times. Is it possible that someday somebody will contact me because of this? As fonts are sold in various online shops can they determine from where I bought it, or that I did not buy it at all?
It's almost redundant to point out that violating someone's copyright is not only unethical, it is illegal. And, yes, it is certainly possible that someone might "contact" you on the subject, depending on the circumstances. If you have no license to use a particular font, but you gained financially by using it, you don't have a defense. "Possible" is not the same as "likely," however, so you probably don't need to move to a new city and change your name (not right away, anyway).
It is better to pay for something you use, not just for the person who created it but for you, too. Consider that you would not have asked this question if you didn't feel uneasy about it.
That's my answer. What follows are my opinions.
Artists and innovators put a lot of themselves into what they do. Copyright and patent laws are there so that they can receive a decent exchange for their work and not be ripped off. The fact that anyone can copy a book, a font or a piece of music makes it easy to ignore or forget that the person who created it has a family and pays rent or a mortgage. A font is usually a one-person effort; a good font takes hundreds of hours of painstaking work. Buying a license is the least one can do to give back for the opportunity to benefit from it.
For better or worse, we live in an era where it's incredibly easy to steal little bits of someone's livelihood without apparent consequence. It is an unfortunate fact of human nature that when we do something we know is wrong, we justify it by doing it again. Pretty soon it becomes a habit. It can become a compulsion. "Everyone else does it" helps us to justify it some more. Peace of mind and a happy life are easier to attain when we don't do things that we have to justify.