Squats are without a doubt the scariest.
It's such a compund movement, with action taking place at so many joints at the same time. Plus, so many muscles are being used as stabilizers...if you're form is off just a fraction you can really hurt yourself. It becomes even more dangerous the heavier you go and the taller you are. A taller person does not have as much leverage and will have a tendancy to bend over more as they lower themselves than a shorter person. This invites serious lower back problems. There are so many places you can seriously hurt yourself if you don't know what you're doing or lose concentration for a second...lower back, kness, upper back...
Plus, with squats, you are pushing the weight through your body. With deadlift, you are pulling the weight (not that deadlifts can't be dangerous however).