Baldness, Acne, Gyno... Possible unknown effects such as heart problems, liver problems, cancer... Impact on your system (cannot come off and build muscle cause you're too damaged)... The dangers with black market stuff.
Doesn't seem worth it outside of sports. I can see the incentive to 'level the playing field' if you're near the top.
A friend of mine achieved a 180kg bench, 115kg overhead press, and pretty much looks like the hulk... The result of 5-8 years of drug free training.