I had a cheap 3rd party battery explode in my camera, luckily not damaging the camera but that meant that I could no longer take any photos for 2 weeks of my 4 week holiday in the US. Since then I have purchased 5 or 6 genuine Nikon batteries which have all been flawless - until I lost them in Canada a few years back! I had a big trip planned again to the US and needed batteries to last 5 weeks , I ended up buying a variety of 3rd party batteries but all from fairly reputable battery manufacturers (energize etc.). They are a bit mixed, some hold more charge than the Nikon, most hold way less. 1 has died (well, only gives like 50 photos) but the rest are OK but seem to have degraded worse than the genuine Nikon.
So I still think you get what you pay for really, but the price difference is so huge that you can afford for a several 3rd party batteries to fail and still be quids in. The danger just comes from an exploding battery ruining your camera!