To all those guys out there who can manage autofellatio, and some who can't, I have three words for you: yoga, yoga, and yoga. I personally have always had the length and some of the flexibility required for autofellatio, although for some days afterward I'd always end up with a sore neck. Just recently I started doing yoga exercises, and most of my problems have disappeared. Not only do I lose the sore neck, but I can also go farther (helpful for those who can't quite reach), even ending up about a half-inch onto the shaft or so!
By no means is this page an exhaustive list of the risks you encounter when you masturbate outside the norm.
You can injure yourself trying to suck your own penis.
There are techniques where you squeeze or press certain areas of your body at orgasm to keep the semen from coming out.
Some people like to masturbate with a warm object, like a hot water bottle or something that gets warmed up in the microwave oven. But you need to be careful when you masturbate with artificially warm objects.
JackinWorld recommends that you masturbate with some kind of lubrication.
The penis isn't a terribly delicate organ – but it is made of skin and flesh, after all. In fact, the skin is much thinner on the penis than, say, on your hand or arm, so it can actually get damaged pretty easily.