Getting lost? I get lost all the time! Seriously you never have to worry about permanently getting lost. Most people call it the silver cord, but in any case you'll always get back to your body pretty much no matter what happens. Think of it as a fail-safe. Like how you pass out if you hold your breath too long.

Moving on to relatively legitimate dangers. IMO. Take it or leave it; I'm not here to argue on the existence of astral projection or whatever. These are simply things that I have encountered in my experiences.

As long as you don't go on the lower planes (that is, the ones closest to the physical realm) you probably won't encounter anything bad. Most books fail to tell you this--they pretty much equate the astral with heaven and that's not the case. The astral mirrors the physical world. But as you get to the higher planes, they are less and less like the real world because they have less negativity. So obviously, to get there, you need to rid yourself of as much negativity as possible before traveling.

1. Energy manifests, created by either human or nonhuman entities. Can also be created by yourself unconsciously. They have little or no intelligence and are "programmed" for simple functions. They usually suck your energy away in order to sustain themselves. They can speak but normally no more than a few pre-programmed sentences, .i.e., "You are going to die." But their bark is worse than their bite; if you have a decent shield or aura you'll be fine, and if you know how to work with the energies, you can either transform the manifest or send it back to its maker.

2. Energy vampires. Some are manifests. Some are intelligent beings. A lot of real people tend to suck your energy away unconsciously. Usually it's best to just avoid too much contact with them. Non-human entities on the astral are very tricky; their power and ability varies a lot so you shouldn't underestimate them.

3. Human entities. People suck, and they still suck when they're out of their bodies. Although you probably won't meet almost any human beings with the kind of skill level that could cause serious damage. When it comes to what's commonly referred to as ghosts, just be careful if you are empathic; they tend to project their emotions onto you. I've never had problems with them taking energy. Some may react violently but honestly it's mostly a show; just stand your ground, keep a shield up and you'll be fine.

4. Non-human entities. Not to be messed with, don't care who you are or how good you think you are. I don't like to use to word demon, because personally I don't really believe in demons (ironically), but one thing I know for sure is that you will find beings of much higher intelligence on the astral planes, and some of them have a...questionable moral alignment, as my friend might say. Imho, your best bet in an encounter with these is to stand your ground, surround yourself with your shield with everything you got, and call a higher power and/or spirit guide for help.

Generally speaking, these can cause you to lose your sanity, they can cause damage to the nervous system, they can cause emotional problems; if you get your ass handed to you by them I guarantee you won't be getting up for several hours. They don't tend to take energy, curiously.

So there's my two cents, if you're genuinely curious to know.