The most obvious risk is swallowing parts, even though at that age it's probably less likely to happen. Magnets are the most dangerous, but LEGO has done a good job of hiding them recently.
Projectiles are also a risk, whether they are intended as such or not. Actual LEGO lauching machanisms (zamor spheres launchers, for example) can be quite dangerous and there's always an icon in the instructions to warn children of that risk.
Electrical parts can be hazardous, in particular if liquids are close. Although LEGO does a good job of protecting its parts (I've heard PF motors run wel even underwater), be particularly careful of mains adapters.
Spinning parts. It's fun, until you pinch you finger between two fast-spinning gears. Why do you think the saw blade first introduced with exo-force doesn't have a cross axle hole?
Pointy parts. LEGO tries to make them as soft as possible nowadays, or rubbery when possible.
And then there's the possible frustration of not being able to make the exact same creation that you have in mind.