Depending on your speed you over-heat and spin out a bit, same as exiting super-cruise at speeds. I guess if you go fast enough you might explode. Anyway after that you are in orbit around that planet and when FSDing out you aim for escape vector to leave gravity well.
From what I've heard when you get close enough you bounce back out, so doesn't seem to be a way to crash into planets... Asteroids on the other hand...