I have to take issue with what my friend Droid Does says about multiple bricks. I think since I've been with the Forum I know of 2, maybe 3 people who truly bricked their Droid and those are Devs, so you can kind of understand how that can happen.
Brick means the phone is dead. Won't turn on, just a paperweight.
The true risk that's involved is that it does void your warranty. But your chances of getting caught are 100 to 1 against it if not higher.
As far as ROM's go, we have a whole section of Dev's with different ROM'S. I'm rooted but do not run a custom ROM. So no recommendations from me.