Health risks at the gym

Having been inspired to run next year's 10k in my home town, my thoughts are turning to my cardiovascular fitness. It's not great. And my opportunities for running are limited to the late evening due to my family. So I've found a late-opening gym nearby, with treadmills. I can manage indoor running as long as I'm listening to music at the same time (fast music, of course).

But what risks may I face at the gym?