When one is baptized does anything happen, or should anything happen?

The apostle Paul answers this in his writings. Paul speaks of the moment at which both Jews and Gentiles are clothed with Christ and describes it as the moment of baptism (Galatians 3: 26,27).

For New Testament writers, the mere mention of baptism presupposes a belief in Jesus Christ as the Messiah, the Son of God.

The possibility of nonbelievers being baptized or of a believer's refusing baptism does not even occur to Paul. The Romans' baptism was much more than symbolic or figurative - some things happened, and those things made it totally inappropriate and inconsistent for them to continue to live in sin:
1. they were baptized into Christ Jesus,
2. into His death,
3. united with Him,
4. their old selves were crucified with Him,
5. their bodies of sinwere done away with,
6. they died to sin, and
7. they were justified from sin.

It seems that Paul is making clear that baptism puts us into union with Christ and we participate with Him in His suffering and death, making us recipients of all the blessing implied by that death. When one submits himself to be baptized, as an expression of his faith and out of love for God, God affects change in the status of that person. That is why Paul wrote, "having been buried with Him in baptism and raised with Him through your faith in the power of God, who raised Him from the dead" (Colossians 2:12).
The change in relationship does not come because we merit or deserve it. It is God's Power, the same power that raised Jesus from the dead, that works the salvation of man, but He requires that we submit in trusting obedience.

"Or don't you know that all of us who were baptized into Christ Jesus were baptized into His death?
We were therefore buried with Him through baptism into death in order that, just as Christ was raised from the dead through the glory of the Father, we too may live a new life.
If we have been united with Him like this in His death, we will certainly be united with Him in His resurrection.
For we know that our old self was crucified with Him so that the body of sin might be done away with, that we should no longer be slaves to sin - because anyone who has died has been freed from sin."
Romans 6:3-7

"When the people heard this, they were cut to the heart and said to Peter and the other apostles, "Brothers, what shall we do?"
Peter replied, "Repent and be baptized, every one of you, in the name of Jesus Christ for the forgiveness of your sins. And you will receive the gift of the Holy Spirit."
Acts 2:37, 38