Well you could damage it if you try really hard but 'normal' experiments are safe. You may damage some hardware by messing with kernel drivers (i.e. changing the code, messing with hardware registers). Also you may need custom serial cable for cold flashing if you try really hard to change the flash memory that contains kernel bootloader or config partition, but these are really advanced things most people do not touch. Otherwise it is pretty failproof, flashing bad kernel or initrd or rootfs or corrupting those parts is safe if you're not afraid of loosing data and reflashing.