Every vaccination has a (although very slim) chance to cause an adverse reaction. Around 5% of all people vaccinated have a minor skin reaction (which is physiological and not an anaphylaxis. 1% report joint pain.

But,more severely, 1-4 people out of a million develop a life-threatening anaphylaxis, 3 out 100.000 a serious blood clothing disorder. Very rarely(as in: Less than 1 in 1 Million), but with a slightly higher incidence of you are an adult pancreatitis and deafness is reported.

As medicine is always a game of chances we try not to risk things,even if they are rare.

One I can think of... I want to my local pharmacy last week to get an MMR shot, and was refused. They pretty much wont do it without a Dr's order.