The "Life With DeKalb Turbines" blog has some dramatic photographs of a windmill blade that shattered in midair during operation, spraying shrapnel nearby.
No energy technology is without its risks, and in some cases the rewards outweigh the risks. Still, the risks of oil and nuclear energy are well known, while the risks of some of these other technologies are still being learned about. The technology will probably improve over time, but that's not much consolation if your tax dollars are being taken from you to subsidize a turbine that's shattering and spraying shrapnel.