I married recently and my husband has his own business. I want to file my tax return separately or do I have to file my income taxes with him will I get in trouble if I don't.

You can file as married filing jointly (MFJ) or married filing separately. In most cases, it is better to file as MFJ. If you file MFS, you will not get many credits and deductions.
Read Your U.S. Tax Return: Filing Status for Married (http://taxipay.blogspot.com/2008/02/filing-status-for-married.html)