As other people have said before: Backup before you Flash!
From my experience the worst you can do is soft brick
Worst Case Scenario:
1. Boot loop:
2. No Boot:
get stuck at bootanimation (boot up and boot animation runs forever, until you restart)
In both situations: Recovery
mode are still available; If you have a nandroid you can restore to a working state from within CWM.
In extreme situations or you want a fresh install; Enter download mode and Re-flash with Heimdall/Odin then restore data from backups (Titanium Backup Root, MyBackup Root etc)
Other Issues you may encounter:
If the theme or apps it includes are incompatible...
App Force Close/ Launcher FC.
Wierd graphical issues (misaligned text, icons not showing up, misaligned buttons)
Loss or renaming/mismatch of menu items.
Missing System apps or System apps unable to start due to incompatibility. (Good example; Phone.apk / Contacts.apk)
ROM boots but does not allow launcher to start (black screen, but title bar visible)
Lock screen causing reboots.
Selecting specific options from Launcher menu causes reboot.
Best Case Scenario:
You install a compatible theme on your ROM - you will have an experience where the theme is changed as you expect, everything works and your phone looks much nicer
I have never had a theme I applied that could not 1. Enter Recovery 2. Enter Download.
If you can do at minimum enter download mode then your phone is not bricked.