If we go by Shakespeare's great play, Denmark's a risky place and everyone seems to be threatened. However, the most immediate threats are aimed at Horatio, Bernardo, and Marcellus in the first scene, and then later, Hamlet. After all, who wouldn't be threatened by a ghost appearing? As Horatio says when he sees the ghost, "…It harrows me with fear and wonder." The very appearance of any supernatural creature would threaten the world, but to have the ghost look like the late king scares these men, and then, later, his son.
As Horatio says to Marcellus, the whole country of Denmark is being threatened by Fortinbras. Horatio says:
"... young Fortinbras,
Of unimproved metal hot and full,
Hath in the skirts of Norway here and there,
Shark'd up a list of lawless resolutes,...
As it doth well appear unto our state—
But to recover of us, by strong hand
And terms compulsatory, those foresaid lands
So by his father lost." (I,i, 109-116)
This would threaten not only Claudius, but Gertrude, Hamlet and all the royal advisors if Fortinbras succeeded.