MySQL replication risks for the master
If binary logging is already turned on and you are simply creating a new slave, unless you are nearing the limit of network bandwidth on the master (in which case, you have bigger problems), there are really no risks.  From the master's perspective, the slave is just a single client which happens to be grabbing binary logs instead of executing SQL.

If binary logging is not already on the master, this will add to the I/O and storage overhead on the master because each transaction will have to be written to the binary log file after it completes.  This is sequential writes, though, so unless you are already nearing the limits of your I/O subsystem, it shouldn't be a huge deal.