The risk is if you copy all your tables into 1 db nothing will work, you will have to spend some time reconfiguring your site to the new structure. However if you plan carefully it will go smoothly.
The are a few advantages. Maintenance, instead of managing 4 dbs you will only need to manage 1. Speed would be another. Accessing data across databases, if it is done, is much slower than accessing from 1 db.
If everything is interlinked, then you'd probably be better off using a single database. If each part is a seperate entity, then I'd keep them as seperate databases as you then have natural boundaries.
If you wrote the system yourself, then you'll know the table structures and whether they can co-exist, if not then you'll need to prefix tables to ensure they are unique, you'll then have to update your applications to reflect the table prefix.
Do you have any performance issues ? If not, I'd leave alone (unless you're planning a rewrite anyway)