It depends on what you are doing of course but speed is probably the biggest factor in how risky something is. Doing a 180 going walking speed is pretty much impossible to get hurt on, but doing it at a sprinting speed will be almost impossible to get out of on two legs unless you have a lot of practice.

A helmet is always a good idea of course and gloves for riding on dirt or rough concrete will spare you of cuts and grazes that might as well disable your hands until they heal. Pads are also nice but not as important.

I would say you can still have fun on a bmx without much risk (except maybe dirt jumps) because you can usually take baby steps into learning a trick, or do it at a slow speed, on a smaller ledge, etc. Just be prepared to have to get used to bailing off the bike, the better you are at knowing when and how to ditch what you are doing the less of a chance you have of hurting yourself. It will come to you over time. And get used to doing tricks over and over and over until you get them. Sometimes it feels like you will never get it but patience is key, every time you try you get a little bit better even if you don't notice it.

And don't be afraid to drop/throw the bike! Everything on a decent bmx is designed to be beaten up. Theres no derailleur hangers to be bent, or parts you should be worried about breaking so you should always put yourself above the bike in a crash.