Jem and Scout participate in several types of risky behavior--some that are seen as immature and some that are seen as more grown-up.
First off, in Chapter 6, Jem, Scout and Dill sneak to the Radley house in order to peak inside. Not only is this trespassing, but Jem, Scout and Gill get shot at my Mr. Nathan Radley as they run away from the house. Jem is even riskier when he returns to the Radley house, knowing full well Mr. Radley will shoot at him if he sees Jem, to get his pants which were stuck on the fence.
A more serious risky behavior is when Jem and Scout come on the scene when Atticus is facing the mob in front of the jail. Scout doesn't realize that running into the mob is a risk for her, but Jem understands that standing up to his father could get him in trouble with his father. Jem also understand that if the mob doesn't go away, he, Atticus and Scout could be physically injured or even killed by the mob.
Another risky behavior is when the three children sneak into the court room to watch the trial. Calpurnia and Aunt Alexandra don't know where they've gone and Atticus doesn't know they are there.
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Scout and Jem engage in risky behavior by going to Boo Radley's house.