First, icicles form at the edge of the roof. This happens regardless of whether or not you have gutters.

Next ice appears from behind the facia (board the gutter is mounted to)

Next, ice appears on your exterior wall on the siding, the trim or in the windows and doors.

Although water may be inside the envelope of your home, it may not manifest in an obvious way for days. Vapor barriers frequently trap such moisture in walls and ceilings for extended periods, resulting in mildew, rot and mold.