This is highly suggestive and dependant on the amount of will and/or effort you put into making the file actually work for you.
Say the ever popular B4mb1 files - their supposed effects could be considered dangerous because creation of a secondary personality that is vacuuous bimbo does seem like something that could have deleterious effects on one's daily life.
There are many files that are supposed to brainwash listener into mindless devotion and/or based on findom. That seems like a risky thing to listen to. Look towards M45t3r L0ck thread for some of those or check pretty much any series by 5h3113 R1v3r5.
However, at laest from my experience, the risk is rather negligable, unless you happen to be particularly susceptible and willing to have the file take effect from the start.