The biggest one, I think, is "What if they don't like it?"
Rejection can be tough, particularly if those people are friends or peers. Rejection is even harder when it comes from an agent or publisher. But, as writers, we know that this is part of the game and that we can't please every reader. Unpleasant as it is, it's all part of the process. We writers need thick skin, and if we don't start out with it, it's something that grows as time goes on and the rejections and criticisms pile up. And, of course, it makes the acceptance letter and the reader who says "I loved it!" that much more sweet when it comes along.
Another risk we take is this:
Somebody you trusted blowing your plot for other readers. Anyone had this one happen? I have. What makes it worse was that it came from a fellow writer in a critique group. Someone who should have known better.
FailWriter on my facebook: "I just got the part where [Character Name] dies."
Me: "Uh. Dude. Get that shit off my facebook."
FailWriter: "My bad, removed. I thought I was the only person who hadn't finished reading."
FailWriter was also the person who, when he hadn't finished reading my book, asked that we move on to his instead for the critique group.
I guess the long and short of this post is, we always take risks when we share our writing - be it for feedback, for publication, or for fun. In most cases, the good outweighs the bad, even if there are a few rotten apple morons in the bunch.
Oh, and never friend someone on facebook until rotten apple status is determined.