No, it's not any more dangerous than normal dreaming. Just like in a nightmare, if something attacks you, you aren't physically hurt when you wake up. On the mental and emotional level, however, it can have very real effects, the emotions felt are as real as anywhere, so it would be best to talk to your doctor before attempting lucid dreaming if you have any mental illnesses or disorders, just to be safe. Especially for people who have disorders that already make it difficult for them to differentiate between reality and fantasy.