Physical Danger
Have you ever seen a movie that takes place in space? Even without aliens with giant lasers or gnashing teeth and Death Stars floating around, it's still a fairly dangerous place to be.
First off—and we can't repeat this often enough—there's no oxygen in space (source).
There's not much of anything else either (sounds, land, McDonald's), but so long as you're tucked safely inside the life-controlled habitat of the space station or your own personal space suit, you'll be alright.
There are the smaller things too besides the lifeless vacuum that surrounds you. The first thing you'll notice is the motion sickness. With no center of gravity to relate, your inner ear gets confused, muddling your brain and socking your stomach with nausea signals. This could turn a space capsule or station into your own private vomit comet.
Well, not private. Your crewmates will understand, but they'll definitely expect you to clean up after yourself.
Weightlessness itself is a hazard. Without the tether of gravity, bones thin out and muscles deteriorate, and since bones take about three to six months to recover you'll likely be hobbling for a while after your mission ends. And let's not forget the whole void thing—if you get disconnected and start floating away, physics says you're pretty much just going to keep going until someone comes and gets you.
Space exploration isn't called high-risk for nothing. After all, out of six total space shuttles in NASA's fleet, one broke apart going up and another coming down. That's two out of six that failed—not exactly the greatest odds.
While that's a big reason we no longer use the shuttles and have learned a great deal from our mistakes, that doesn't mean space travel is all that safe. Parts may malfunction. Astronauts could slip their tethers. The landing could be aborted.
We're just saying, if you want to go up there, you should know the risks. But you know that—you've seen all those movies.