What are the risks if I get pregnant with too many follicles?

For the past four weeks we have been trying to create mature enough follicles for me to ovulate using Gonal-F. This was my first cycle on the injections so it took a while to get the dosage correct. I went to the Dr. yesterday and it seemed like there was one folicle almost ready (16 mm) and many other less mature ones. (14- 10 mm each). Unfortunately, I went for an ultrasound today and now there are 3 follicles measure 19 mm and 5 ranging in the 14 - 17mm range. My Dr. said we had to cancel the cycle (we were planning to try naturally), and I COMPLETELY understand all of the reasons why. I walked away from the appointment devestated, and there is a piece of me that just wants to try anyway. I am open to reduction, but my Dr. seems to think that is a bad idea. I trust what he says and have always followed his directions, but my inner rebel is winning this time. I'm wondering what the risk would be with reduction if we try anyway and end up with a ridiculous number of fetuses?