The risks are small, and most definitely worth it from society’s point of view, and likely from a personal point of view - They are, however, harder to assess from a personal point of view.
I am somewhat familiar with a case where a serious underlying autoimmune condition was apparently triggered by vaccination. It would have surely manifested at some point, but for this condition - the later it is triggered for the first time, the better the overall outcome. (The parents in these cases often believe that the condition was caused by the vaccination, rather than revealed by it - the truth is any significant provocation of the immune system might trigger it). There have also been cases where live polio and flu vaccines where not sufficiently weakened and caused the disease.
It is also not helpful that most vaccine proponents discount anyone who considers risks a heretic.