Truthfully, as someone who has experienced two KBs in about 20+ years, chances are very slim you'll ever have a problem but, everytime you go to the range to shoot, you do exposed yourself to a problem. There are just too many variables that you can't control. You can reduce the chances: Keep your firearms in tip-top condition and only buy factory non-reload ammo or load your own very carefully. Other than that, a mechanical failure in your handgun or rifle or shotgun can occur at any time. A errant round could find its way into your cylinder or magazine. There are a dozen different ways you could have a problem but it is pretty rare.
In my case, I had a bad (overpressured) factory round in a .40 Beretta 96d. Factory round. But when it blew, it did just what it was supposed to do: it dumped the bulk of the explosion straight down through the magwell but, at the same time, peeled back the entire action at the top so that it looked like a can opener had been applied to the top of that very stout handgun. Everything from there went forward, too, not back at me. I was at S&W Tactical Training center when it happened and the R/O shut down the range, ran over to me and literally ripped open my shirt to see if had been injured by shrapnel. Not even a scratch but my hand sure stung. Imagine the worst stinger you can get with a baseball bat and multiply it by two. Gun was ruined but, most importantly, I was fine. I stored it away and when onto another handgun.
I've also had a shotgun fail with FACTORY shells. Long story short, it too handled the round in that gas-gun properly and everything worked as it should. The shotgun was replaced by the ammo company and I used my back up for the long weekend.
So, the more you shoot the more you expose yourself to a problem but just practice everything we all learn at the beginning: Eyes and ears, good equip, no ammo other than factory out of your control, and relax and have fun but be diligent.
Rome