Well to be honest I share my dedicated server with somebody. I had VPS which wasn't good enough for me, but I didn't want the expensive cost of a dedicated server all to myself.
I posted an ad here on WHT to find someone that would want to go in on a server with me. I found the perfect combination! The person only needed 200GB space and 50GB bandwidth each month (I gave him 100GB). And he pays me $30/month. So that helps eat the cost each month. (my server costs $114/month). This way I only pay $84 a month
The risks... well they could change your files around, delete stuff, open things they shouldn't etc. I guess that is something you'll have to decide if you want to do that or not.
For me and the guy I share my server with, we are on an understanding that we will not touch each others stuff and we swapped each others phone numbers incase we ever need to get ahold of each other =)