**It Makes Critical Hits More Likely**

That's it, really. The confirmation roll makes a critical hit less likely, because you have another chance to fail. How much less likely depends on the difficulty of the roll to hit the target (as to confirm you just need to hit).

If you need an 11 on your d20 confirmation roll to hit, then you're going to not get a critical hit around half of the time you threaten a critical hit. Removing that roll also removes the failure chance.

**How Significant Is It?**

It depends. If you need a natural 20 to critical hit, you've already only got a 5% chance to get that, and if you need an 11 to hit, you've only got a 50% chance even if that 5% chance happens. Removing the confirmation roll doubles your effective crit chance, back to 5%. That's honestly not a huge deal, although it does mean your PC characters will get hit by crits more often as well.

But if someone is using a Rapier (18-20/2 in 3.5) and puts Keen on it (15-20/2), they have a really wide threatened zone on the dice. That's a 30% chance to threaten a critical hit, assuming a 15 on the dice can hit. Removing the confirmation roll from that person will make an equal impact in terms of the percentage boost, but a 30% crit chance is a lot higher than 5% crit chance in practice.

An NPC with multiple attacks and a high crit chance like that that doesn't have to confirm his critical hits is more likely to be able to kill a PC in a single turn with a full attack, because he will crit multiple times more often.

**The Fun Factor**

I think you have a pretty good point in what you noticed: rolling a natural 20 and then not critting is anti-climatic. That big roll at a key situation is great fun, until you roll a 2 on the confirmation. Then it feels like a lost opportunity.

**Slightly Tweaked Idea - No Confirm on Natural 20 Only**

What you may want to consider is making it so that a natural 20 is an automatic critical, no confirmation. Any other threatened critical has to be confirmed as usual. That will boost the special feeling and excitement of a natural 20 (no letdown!), but won't alter the balance of weapons with very large crit ranges (they'll have to confirm as usual and keep the same extra chance they're getting currently, as a result).