Well, there are a lot of risks, like being unlisted on exchange for ICO you've invested in. Another risk is low liquidity or dropping below pre-ico price.
i don't even talk about exit scam,because this outcome is obvious.
Many people really underestimate low liquidity. A coin can be so hard to trade it's unusable, so easy to inflate/deflate it's basically a scam waiting to happen, or even just die out and turn worthless. It's very, VERY dangerous!
Another warning: the harder people are promoting it, the more risky it becomes. Pump and Dump is everywhere, especially on newer coins or ones with lower liquidity. Usually it starts with a lot of astroturfing about how awesome a coin is and/or how it's "going to moon" and ends in a lot of broke people.
Honestly, I'd tred carefully with anything under two years old, especially if it has low liquidity. CoinGecko is a good place to check this stuff.
Lastly, doing the research can be a problem in and of itself. The astroturfing can get pretty bad and whitepapers don't make for newbie friendly reading. Unfortunately the research is needed for a wise investment...