Lucid Dream: (Wikipedia Definition)
A lucid dream is any dream in which one is aware that one is dreaming. In a lucid dream, the dreamer may be able to exert some degree of control over their participation within the dream or be able to manipulate their imaginary experiences in the dream environment.

What this means?
YOU can do ANYTHING you IMAGINE!!!

What's the risk of Lucid Dreaming?
NONE, people post topics that scare non-lucid dreamers to be afraid of lucid dreaming. Often, lucid dreaming gets related to a different phenomenon: sleep paralysis, Sleep paralysis is where you wake up but are unable to move. People usually then freak out and then start having hallucinations, most commonly auditory ones. Just relax if this happens, try to fall back asleep if that is the case. Don't get the two phenomenons mixed up.

Should I be any bit worried then?
No, why should you? Have fun in your lucid dream, that's what it's about! If you think you had a bad lucid dream, well, most likely you thought of having the bad dream yourself, aside from nightmares. Also, don't listen to topics that say they had a scary lucid dream, they probably just had a nightmare. Don't let them get to your head!

Why should I trust your rant?
I am an experienced lucid dreamer. I've lucid dreamed before many times, not once have I had a bad lucid dream.

Why did you make this rant?
Because I'm starting to see a TON of lucid dreaming topics asking if they should be scared to lucid dream or will anything bad happen. I'm starting to wonder how they even thought they would have a bad lucid dream.

Hopefully I have prevented some future topics about bad lucid dreams and re-occurring questions about being worried of lucid dreams! Good luck in your lucid dreaming experiences if you want to start! Rant over.