That said, it's not completely risk free and I think it's important for folks who decide to get into the hobby at least take a moment to think about it. If you have someone in the household that has respiratory issues, I think it would be worthwhile ensuring that you have good containment to prevent spores from circulating the home (or do it elsewhere). This is particularly true if you decide to scale up (which is natural once you have some success, it truly is fun).
Also the growing environment is subject to infection from whatever environmental molds/fungus/etc are around, so reasonable precautions should be taken when handling/disposing. Once you get your procedures down this is less of an issue but still something to keep in mind.
Personally I didn't do anything but very basic precautions and never had an issue.
You can grow mushrooms at home, it is fun. The only risk is that the mushrooms with high spore production are not great to have in a closed residence, especially oyster mushrooms which produce very high spore loads. There are vendors who produce cultures of sporeless oyster which can be used to grow oyster mushrooms indoors.
Outdoors, at least in most temperate areas, you are limited to things like shitake on logs or winecaps. The latter are incredibly easy to grow, and very good taste wise, but they are temperamental and basically grow on their own schedule, infrequently.