A psychoactive drug is a chemical substance that changes brain function and results in alterations in perception, mood, consciousness, cognition, or behavior.
The focus in the question and in this answer is on "feel good" and not on "illicit" drugs, specifically on opioids, benzodiazepines, amphetamines, cocaine, MDMA and alcohol. So, do these drugs tend to be dangerous? Yes, they do tend to be dangerous, but not necessary due to their inherent (chemical) properties but due to circumstances and events typically associated with their use.
Dangers are on several levels:
1) Overdose
Opioids, such as heroin, in high doses can cause respiratory depression. There are antidots and other treatments available, but with illicit opioid use, there are usually no doctors around, so this is why overdose can be deadly. According to Drugabuse.gov: "Every day, more than 130 people in the United States die after overdosing on opioids" and "Roughly 21 to 29 percent of patients prescribed opioids for chronic pain misuse them."
2) Addiction
Addiction is often associated with a dose and duration of use. Moderate alcohol drinking (1-2 drinks/day) does not likely make you addicted, but higher amounts drunk for several months/years can. Alcohol dependance and withdrawal.
3) Withdrawal
Abrupt withdrawal from alcohol after long alcohol use can be deadly due to seizures or arhythmia, for example. Opiate withdrawal can also be deadly. Benzodiazepines withdrawal can result in rebound insomnia and rebound anxiety.
4) Organ damage
Physical complications after prolonged use (years):
- Alcohol: liver cirrhosis, alcoholic neuropathy, Wernicke-Korsakoff syndrome
- Cocaine: brain damage (acute effect can be gastric ischemia)
- Methamphetamine: brain damage, tooth decay (meth mouth)
In conclusion, "feel good" psychoactive drugs are dangerous mainly because they can be easily overdosed and because of complications after prolonged use. Most of them have a "narrow therapeutic index:" alcohol, benzodiazepines, cocaine, opioids.
Emergency room visits ratios in the US, 2011 (ussc.gov):
V = ER visits/year ; RR = risk ratio (total users/ER visits)
- V RR
- PCP (phencyclidine) 75,538 2.9
- Heroin 258,224 0.92
- Oxycodone/oxycontin 151,218 0.39
- Cocaine 505,224 0.37
- Methamphetamine 102,961 0.23
- MDMA (Ecstasy) 22,498 0.04
- Marijuana 445,668 0.03
- LSD 4,819 0.03
If you evaluate danger by ER visits, the relative risks do not appear high, but absolute numbers do for most listed drugs.