Physical Danger
Setting sail can be quite dangerous. After all, you're going out on the open water, probably at least a few minutes (if not hours) from the nearest rescue team, should their assistance be required. Storms can seem to come from nowhere, and a ship is only as sturdy as its last maintenance check.
Whether you'll be facing a ton of danger as a captain depends, once again, on which of the high seas you sail, what you're doing when you get there, and what sort of boat you're piloting.
Long story short, though, you'll face physical danger. The dangers themselves range from those associated with heavy machinery and equipment to the catastrophic—pirates and sinking ships and hypothermia (which would probably follow the "sinking ship" thing).
The bottom line is, expect the best but prepare for the worst. When everything's going haywire and you're the one in charge, the best response is never going to be, "This wasn't in the job description."