Physical Danger
Musicals are hard on you physically. Performers sing and dance their way through three hours of high-energy routines. This happens for as many as nine performances a week. There are only so many high kicks one can perform before something goes pop.
Besides the constant pressure on the joints, muscles, and vocal chords, there are the everyday dangers of the dozens of bodies and tons of props and scenery that will be in your general vicinity. You could be singing your heart out in a production and you pause a little bit too long on that last note of your solo and you get hit from behind by a moving line of prancing choristers who were staying with the beat.
And did we mention the fires and explosions? That's what happens when things go right—Broadway is all about the bigger and better, including pyrotechnics. It's when something goes wrong that you want to have great health insurance.
This means you need to keep in shape and on your toes. No matter how careful and judicious you are, something is bound to happen. Any time you get a little overconfident, just remember what happened with Spider-Man: Turn off the Dark—six actors got injured, and the show never even turned a profit (source). Be on your guard.
Also, don't audition for the role of a web-slinging singer in the first place.