#1 Is acceptable, however not how you would typically pose that question.
substitute 'what' with 'that which' or even just 'that'
#2 is great
#3 just needs a bit of assistance....
Im thinking you are looking to make a greater statement since 'very' is an adverb used for emphasis. I would offer a suggestion "very great danger" or "very grave danger".
Im not an English expert and Im sure there are those who would make some other, perhaps more correct comments.
Almost rest assured your opinions are based on Standard English.
(1)We can find out one of the definitions of "what", which indicates: what = which, who, or that. So, we would like to say the #1 sentence is acceptable. But this definition is a Non-Standard usage(See the 8th/9th definition of "what" in AHD). Thus, the #1 is "not how you would typically pose the question."
Am I on the right track?
(3) Can this "very" be an adj., denoting "actual" or "true"? (See the 8th/9th definition of "very" in AHD when "very" used as an adj.)