The only dangerous thing is the risk of bringing back a child. If you go to the Future, you may bring back an Elder Sim which will be marked as your Sims' offspring, and if you go to the Past, you may bring back a Teenage or YA Sim who will, again, be marked as your Sims' offspring. The odds of this happening are fairly slim, but they happen more regularly than meteors.
Otherwise, your Sim just disappears into the Time Machine as if it were a Rabbit Hole, and they come back in a few (Sim) Hours. They can bring back valuable books, gems, gnomes, metals and other objects.