The risks depend on the drug and dose and how long you take the drug. In other words, it depends on why the drug is being taken. Generally, if the drug is being taken for muscle growth or to increase athletic performance, the dose needs to be high and the treatment needs to be maintained for as long as increased muscle mass is desired. In these high-dose situations, the potential risks are the greatest.
Generally, the risks include mood swings, aggression, irritability, "roid rage," and depression. Acne is also a likely problem. Appetite will probably increase.
Depending on one's gender, additional risks exist. In males: possible breast development (this may be irreversible), decrease in testicular size, and decreased sperm count are all concerns. In females, permanent effects include: hair-loss where you want hair and hair-growth where you don't, deepened voice, and an increase in clitoris size. Additional risks for females include many changes in reproductive tract and regularity of period.
There are some other not-so-common risks that may be specific for the type of drug that is being used. That said, anabolic steroids do have therapeutic benefits and when used for medical purposes, under the management of a physician, the doses are generally low and the risks are considerably less of a concern.