Unless you are in a certain risk group, there are not significant risks, other than long term respiratory complications from, you know, inhaling smoke.
Here's what I can recall from memory at least.
Under the age of about 20 - marijuana's been pretty definitevily shown to slow or halt the development of certain areas of the brain that occur during adolescence up through the late teenage years. Specifically areas that have to do with decision making, emotional integration and the like in the right frontal and prefrontal lobes. Good news here is that these seem to resume if you stop using it, and are more or less finished between the ages of 19 and 24-25 or so. This can have a pretty profound impact on people who start smoking it at say, age 13.
-Family history of addiction and substance abuse. Alcoholism is the one you've got to really watch out for, as there seem to be shared genetic risk factors between alcoholism and the serious abuse of marijuana.
Existing mental illness, or a family history of mental illness. Specifically:
Major Depression and marijuana isn't a cheery combo. Makes the depression virtually untreatable, though it's debated in most literature wether it can worsen it. Depression is a very heterogenous illness, and it's very hard to draw conclusions here.
Bipolar Disorder just doesn't play nice with marijuana, both in terms of the medication needed to manage bipolar successfully, and the illness itself. Marijuana's probably in the top three worst things for a person with bipolar. It significantly worsens the prognosis of the illness, and kindles long term increases in cycling, and severity of cycles.
Existing schizophrenia, or severe risk factors for schizophrenia - such as a close relative with the disorder, or certain mutations in a gene called COMT. Marijuana is, bar nothing, the worst thing to mix with schizophrenia. All controlled research on the subject, including some very powerful retrospective cohort studies have been unequivocal on the topic.
Oh, you could be allergic to it, but that's extremely rare. And if you have respiratory problems, like asthma, smoking anything at all is a very bad idea.
This is from recollection, largely on working as a tech in a large scale substance abuse treatment study and gathering research material related to it. If you have any specific questions, feel free to direct an email my way.