As there are different aspects if you want to search the paranormal.

Physical aspect: As investigations often take place in the dark, it may cause hazards. You can not see anything, you can stumble into things, etc.
Paranormal aspect: Stated by various  paranormal investigators, they have afterwards been haunted themselves. Whether one can call it bad luck, is unknown.
The psychological aspect: For a skeptic, such a study could be traumatizing. It is nice and easy to be able to explain things with "crooked doors", "cold drafts" and "headlights playing with the shadows of the house." Experiencing a real paranormal activity, the skeptic's faith in physics and beliefs could be shaken.
Social aspect: The possibility of ridicule is probably the biggest threat in the paranormal community. Friends, acquaintances and employers can easily see this unconventional hobby as "nonsense and witchcraft".
Legal aspect: Any ghosthunt or paranormal invesigation must be approved by the owner of the object of interest. Even a field. Failure to get such an approval, can end in fines or even a visit by the police. So be aware, thirll-seekers!