Well, lucid dreams I tend to feel very realistic, undistinguishable from reality. So getting hurt HURTS.
By "going horribly wrong" I mean losing, obviously.

Also, sometimes, your lucid dream can be "invaded" by things that repersent your fears. This only happens to me, so I don't know if it helps. If you get it tough, try to fight back, or wake up. Hope it helped.
Also, don't worry if you don't manage it at first. Patience is key here.