Do the characters feel threatened in Waiting for Godot? And if so, by what?
In Waiting for Godot it is evident that Vladimir has a somewhat deeper "connection" with the spiritual world (he is the one who asks and keeps bringing up Godot) while Estragon represents our human weaknesses: the lack of patience, despair, little faith, anxiety over the unknown, and our daily fears. This is why it is Estragon who consistently complaints about the wait, and who wants something to happen right away.
Curiously enough, Vladimir's connection is such that he is the only one who can communicate effectively with the character of "the boy". The boy, who appears in both acts (there are two boys), is a messenger from Godot. Yes. He has apparently seen and spoken to the Godot that Vladimir insists on waiting upon.
This is the message of the boy:
Mr. Godot told me to tell you he won't come this evening, but surely to-morrow.
On the other hand, Estragon feels threatened by the character of the boy. He does not trust the dynamics between Vlad and the boy, and lest we forget that the faith and hope that abounds in Vladimir lacks entirely in Estragon.
Another point of threat is that of Estragon on Lucky. Estragon represents free and open expression while Lucky is happy being Pozzo's slave, being told what to do, think, or say. At this point, Lucky represents the mindless existence of some people who prefer to be enslaved to routine rather than be free to enact their dreams, or change their reality. That is another sad point of existing. Estragon's words and actions cause threat on Lucky because it means a change of the way he has chosen to "live" his life.
Vladimir feels the threat of "not waiting"; he feels that stopping to wait will result in punishment.
One last potential threat is the overall fear of uncertainty, which lays at the center of the plot. That uncertainty is at the epicenter of life is the reason why this play exists. The fear of the unknown, paired by the insistence of humans to believe in something to stave off the fear of the unknown (death, fate, life, destiny) is the biggest threat to all the characters of the play.