I've never done it myself, but I have heard of it. One of the things is that butane is extremely flamable. It's explosive! KABOOOM! AAAAAaahhh! Oh God, I'm on fire! The agony!!!!!

If you want to do it at all, you do not want to do it indoors like these guys in the video were, becasue the fumes will acumulate. Do it outdoors in a ventilated area away from any source of flame or spark. A place where no one will notice the smell of the funes.

I think there are also other dangers, such as frostbite and contamination, but I don't know much about that.