The major danger in having a government is the danger of tyranny, the danger of having absolutism arise.
When we set up a government, we give it many significant powers. The government, for example, has the power to take away our money through taxation. It has the power to take away our liberty by putting us in jail. We allow it to have armed forces that we could never resist, even if we do all own guns.
When we give the government this much power, we risk having it abuse and tyrannize us. We risk having it take too much of our money. We risk having it use its police powers to arrest us for no good reason. Basically, by giving it that much power, we risk having it take away the liberties that we want it to protect.