Samsung Galaxy S4 [GT- I9500] - Android 4.2.2 Currently working with Android 4.2.2.
I'm a bit curious if it is worth the upgrade to Android 5.
How can I know the improvements related to 4.2.2, - I'm currently not having any problems with it.

I don't want to mess things up; is the upgrade worth it? Could it include new bugs?
What are the downsides of higher versions than 4.2.2?
I would definitely recommend you upgrade to Android L / 5.0.2. 

There a numerous changes relating to performance, new features, and battery life. Android L gives a completely different (better, in my opinion) feel to the phone and fixes many of the bugs from previous versions.

To answer your question about including new bugs; it's inevitable. But if they are addressed, it's highly likely they will be fixed in the future.