You think IBM is going to go up in price. (It should with the new CEO from Red Hat!)
You can send $100 to investment bank A which turns around and buys a regular share of IBM.
Or you can send it to investment bank B which offers a synthetic share of IBM. Investment bank B doesn't actually buy a share of IBM but collects bets from different people who think the price of IBM is going to go up, and other people who think the price of IBM is going to go down.
With investment bank A, your money may go up or down a little, but there's not much chance that investment bank A will go out of business.
On the other hand, with investment bank B, there are several different ways the investment bank could go out of business. It might not balance out it's up and down bets correctly because it's confident that IBM is going up. Or many of the other customers may be unable to pay up. Or maybe investment bank B made a deal with AIG to make sure that investment bank B would not lose money on the deal, but AIG was unable to pay.
With synthetics, there are additional risks which are more difficult to quantify.