My 8-year-old son is very rational and thoughtful, but in my view he doesn't understand danger well. For example, he will run right next to fast moving cars in the sidewalk. It seems he has a model of danger in which he thinks he'll have time to react to anything, or he'll get a sign from a car that might hit him....
I suppose I could show him videos of somebody getting hurt, but I'd like to avoid something potentially traumatic like that.
Assuming that we're talking about a kid who's lacking risk assessment skills, not one who is developmentally disabled, the best way to teach kids about danger is to let them experience it, including letting them experience when things go wrong!
If you give your kid the scare routine, you're doing that -- scaring him -- not teaching him to be competent at risk assessment. Overcautious behavior ruins at least as many lives as incautious behavior: both extremes are bad, sanity is somewhere in the middle.
Learning to manage little dangers is what prepares kids for big ones. I recommend giving your child freedom in situations where screwing up past a certain degree will probably get him hurt (but not maimed or killed), and let him learn. Examples include climbing trees, using tools, and so on.
I wrote an article a couple of years back, entitled "Dangerous Things Are For Kids, Too", which you might find interesting. It's short, I promise, and on point. It's a short episode from my family's life that demonstrates the value that danger can have as a learning tool.
My daughter used to rush into elevator alone. We told her again and again not to do that. One time we purposefully didn't follow her fast enough. And the door closed. A scream and crying followed. A second later we reached the elevator and opened the door. She never entered it alone since.
I agree with HedgeMage - if your kid is not reasonable enough to understand the danger - for whatever reason (age, character, stubbornness, showing off) - there is no other way than to let him experience it. Try to find a situation where the dangerous event will occur, but the risk of serious injury is minimal.
