Do these fish have bones, and are they dangerous?
All fish have bones, some have more complicated bone structures than others. Generally the ones which you will find in the store are ones which are easier to deal with as that's what people want. 

Preparation of them varies widely depending on whether they are smooth skinned, scaly, whether the skin is edible, and bone structure. Some fish like mackerel and trout can be cooked whole (just gutted and cleaned), without any scaling or filleting. Mackerel can be de-boned using your fingers. 

Cooking and eating fish is not complicated or dangerous. It will be a better experience if you learn the skills to do the preparation work, youtube is your friend here as there's loads of videos on how to prepare and cook fish available.