Like many of us, I use Facebook. The only thing I'd say are threats are as follows: Friend Requests from Strangers, Online Scammers and Phony Profiles. Worms or Viruses received in messages or embedded content, and of course fake pages. A definite annoyance is auto-generated game invitations. Aside from those things, Facebook is relatively safe as long as you use your head and only interact with people you personally know or trust.
I use Yahoo! a lot. As a long-time user, I'd have to say that the most irritating things to happen are waiting for Banner Ads to load so I can use the home page's features, Ads blocking the headlines I was reading, and Yahoo! constantly pushing me to create a Public Profile when I sign out. I've lost count on how many times I've told it I wasn't interested. Aside from the Ads, Yahoo! is very safe in my opinion.
When I first visited this site a few years ago, it's user-uploaded content seemed to be better controlled. It was usually just clips of professional actors/actresses, adult film trailers, or user-generated videos. During the past few visits when I've browsed through the videos and categories, I was pretty disturbed at how the site now contains videos considered to be of a taboo nature here in the US. This also included the banner ads they displayed. I no longer feel comfortable with visiting this site as a result of the content hosted there. Be aware that not all videos are titled/spoken in english, so unless you know the language you may be better off avoiding them. If you decide to visit the site be sure that what you view is in compliance with your local laws to avoid any possible trouble resulting from viewing it's material. What's legally acceptable in the Netherlands may not be where you're viewing from.