It depends on the level of harassment. You are unlikely to win a case or retain your job if you file any sort of complaint. The best course of action in a large company is to approach your human resources director and ask if there have been any previous complaints. If the boss owns the business, you need to document what is taking place... letters, emails, photos, etc.
Generally, it will make you less hire-able by other companies, even if you are correct that you are being mistreated.
Your best course of action is to find a new job before filing any motion. I have taken my case to the Labor Department and won a harassment suit but was fired two months later because "the boss was sick of looking at my face," which was a legal cause. I was able to collect unemployment while seeking a new job, but be aware if you file a complaint you are not likely to keep a job at that company even if your boss is fired as most companies do not like dealing with disgruntled employees.
Sexual harassment cases and racial discrimination cases are most likely to be taken seriously. In all other cases, companies will try to blame poor work ethic, inability to get along with co-workers, etc. and they can form pretty compelling arguments that will hurt your future chances of finding a job even if you win your case, so be wary.
I have had multiple bosses tell me I needed psychiatric help and had one ask me what made me so different from everyone else and why could I not act like them? Unfortunately, these comments are seen as opinions, not harassment, but they do a number on your psyche!