There aren't risks in the straight forward sense. It is more like you are almost certain to get problem A, if you do X,Y and Z, or don't do A, B and C. So if you just do it willy nilly, it isn't risk so much as a near certainty. However if you do things right you are not going to have that problem.
For example the most common and oldest steroid is testosterone. It is just the male hormone, and you inject it. It just raises your test levels real high. In most people, as it is used it will convert to estrogen and cause gynecomastia (boobs). However you can take something to reduce that effect and not get boobs. After a while it shuts down your natural test production. So when you come off, you have to take a fertility drug to stimulate natural testosterone production. If you are prone to hair loss, you might get some temporary balding, which there is something for that too. It is most likely going to cause some body acne, which is hardly a big deal, but you can scrub yourself with Nizoral shampoo to help clear that up.
That however is for a man at least early 20's or older with a good base of natural gains. People who do not fit into that category can have serious unpreventable problems and should not take it.
Then other compounds have other issues, and some things interact with each other. So it is not that there are risks so much as stupid people are putting things into their bodies that they don't understand.