You could die. Just telling it like it is.
In fact, there have been six magicians who have died performing one trick in particular called the Magic Bullet Catch. The Magic Bullet Catch is a routine that consists of an assistant firing a gun into a magician's mouth. Sounds safe…what could go wrong? If a magician can catch the bullet with their teeth, they live and enjoy a standing ovation. Unfortunately, not all magicians have successfully performed the trick. Magicians such as Madame DeLinsky, Arnold Buck, The Black Wizard of the West, Chung Lin Soo and Ralf Bialla have perished while performing it. Although, to be fair, having a bullet intentionally fired at their faces, they likely didn't stand to live much longer anyway.
Most of the time, magicians will not face death. Those performing escape or dangerous routines work out every detail to prevent the risk. You could die on stage, but that would only be from a bad performance.