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.