David and Elio have said it, sleights can be a danger in home games (hence the number one rule recommended in any gambling protection book or video: never play with people you don't know). However, even private games show differences. A person with whom I've conversed (who has first-hand experience) has said that cheating even in private games has become a whole lot more difficult over the last few decades, as video surveillance has increased. So if somebody suspects something, he has a tape he can play back to check on his suspicions.
Far more dangerous seems to be non-sleight based cheating (or with minimal use of sleight-of-hand), for example collusion.
As for the danger: Again, this depends on the game. Some games will kick you out, sometimes you can get roughed up a bit. Personally, I believe the stories told by magicians ("The cheater, on the other hand, risks his life by using these moves!") are exaggerated; sure, it may happen in an extremely rough game, but I don't believe it's the norm.
I'm not very familiar with the gambling-regulation laws in different countries, but I don't believe cheating at a private game with get you jail-time. This may be different if it's a well thought-out scam, designed to take people off for large sums of money.
Cheating might fetch you time in prison if it's done in a casino, but here, sleight-of hand is very rarely used.
Take everything I've written with a grain of salt; I have no first-hand experience with this world whatsoever, and all information comes only from reading. Maybe @Jason England can weigh in? He could tell for sure.
If you're interested in the topic, the Gambling Spot at the Magic Café is a good resource. You have to wade through some dung to find the gems, but there's a boatload of information for the dedicated researcher.
