This laser can kill or injure you in so many ways it's almost a topic on its own. This is not a particularly dangerous or powerful laser, but it can get you into trouble. You should not consider bidding on this item unless you understand the risks. By bidding on this item you acknowledge that you know what you're getting into.
Electrocution
This laser operates on serious power, unlike a He-Ne laser. If you are messing with it and somehow expose yourself to the loop current, the power supply will fry you very quickly without batting an eye. It runs at around 100V and 10A. Incidentally, this means your electric bill will reflect prolonged use of this laser as well. It also makes an effective space heater in the winter.
Burning
This tube operates at ridiculously high temperatures and could ignite flammable materials or injure you if you expose yourself to the plasma tube inside the chassis (more on tube hazards below). Always be careful if you have the case open and don't leave this laser operating unattended.
Nasty, Lingering Death by Liquefaction of the Lungs
A certain percentage of people are vulnerable to a very painful and incurable condition known as berylliosis or Chronic Beryllium Disorder. Due to the high temperatures involved, the laser tube is constructed of a ceramic called beryllia. If this material is crushed and inhaled, it can set up shop in the lungs and make life very unpleasant for the owner of said lungs. You should note that this laser poses a threat only if you smash the tube and then sniff the resulting dust somehow, but nonetheless it is something you should be aware of. The laser will be packed for shipping with this in mind, and a suitable warning label attached.
Blindness
This laser can burn some surfaces if the beam is focused using a lens. I have used it to etch my name into floppy disks and crayons, and to cut holes in electrical tape. If you look into the beam, even momentarily, or even catch a glimpse of a reflection (like the ones coming off of that CD), you could suffer a permanent eye injury. Retina cells don't regenerate. I have friends who work in laser labs who can no longer see anything in the center of their field of vision. They look away from you when introduced, not because they're rude, but because they're using the last few working receptor cells to try to get an idea what you look like. You should wear protective goggles when working with this laser, but failing that, always ensure that the beam is trapped before you go moving around near it.
As a side note, the tube produces significant amounts of UV light as well, and this can cause cataracts and skin damage if you allow yourelf to be exposed to it for too long.