That's right, people, there are a few things to watch out for on the Planes. But, that's ALL they usually are, things to avoid: To the best of my knowledge, there is NOTHING that is truly hazardous to you, only unpleasant.
So, what dangers are there? Well, I said the Astral Planes were where dreams take place, didn't I? Well, nightmares are dreams too, remember. Fortunately, nightmares are on a difficult-to-get-to plane, so it's unlikely you'll go there unwittingly, and most Astral beings are limited to only one plane; you have the advantage of being able to skip out to another plane if danger threatens. Plus, even if you're up against something that CAN go to more than one plane, you can always leave the Astral Planes and go back to your body. In fact, until you're experienced, you probably won't be able to AVOID it! You'll snap back to your body the instant you have even a small problem. The only way of preventing this is experience. Also, it is not possible for another Astral being to kill you. Well, not unless it is unbelievably powerful, but we're talking demigods here, and you'll be beneath their notice, assuming you ever even meet one.
Also, there are the less-powerful Archetypes I usually refer to as Phobias: beings made up of collective fear, eg. fear of the dark, fear of fire, fear of death, fear of rape, etc. These are nasty characters, and they're unfortunately not limited to just one plane. If you ever meet one, I advise you to recall that Discretion is the better part of Valour, and leave the area. These guys are nasty, powerful, and have a lot more knowledge of the Astral Planes than you do. You can fight them if you wish, but I strongly advise against it; if you loose, you'll run away, and have wasted a lot of time and energy for nothing, and if you, by some miracle, win, you'll have made a powerful and evil enemy who can cause you problems later.
But really, whilst there are a few unpleasant places, and a few unpleasant beings, there's no real danger on the planes. If you come across something unpleasant, just go away from it. The only way you can be killed, that is, separated from your body permanantely, is for the 'silver cord' that connects you to be cut. I have never heard of this happening, and since most of the time, you can't even see or be aware of the cord, it's not much of a danger.
Interestingly enough, tho, there is one person in particular that can pose a real problem. It is, as you may have realised already, you yourself. Your psyche is made up of several integral parts, and these can become separate and distinct beings on the Planes; you can, quite literally, meet yourself. Usually, if this happens at all, it will manifest as shadowy figures more sensed than perceived, but occasionally, a negative part of your personality may appear. This will usually happen just as you leave your body, and until you deal with it, can cause you some problems; the Negativity can even make it impossible for you to project so long as it is present.
But, it is usually there for a reason. A common one is that you have a subconscious fear of projecting; this leads to the creation of a being that fills you with fear whenever you encounter it, making it impossible for you to actually project yourself. There are no fixed ways with getting rid of it; it's different for everyone. All I can tell you is that you have to face your fear, ask what it is doing there, why it exists, and how you can negate your fear. You can do this either when meeting it in the Planes, or just think about it during normal life. It's no real threat, but it can make life difficult for you, both on and off the Planes.