Great post, Lindal. Should be a sticky! One minor point to add, a bit of advice to newbies.
Before wearing anything, if you like your current appearance, edit your appearance and "Make Outfit". Check all the boxes for parts of your appearance you want to be able to restore, and give it a name you'll be able to find -- e.g., your avatar name, or "my outfit".
Then you can try on skins, shapes, whatever, and no matter what they do to you, you can get back to how you were before.
Of course, wearing objects can cause any of the harms Lindal mentioned above.
Oh one more warning: if you own the land (or have terraforming privileges on the land), there are scripts that can raise the ground level, causing all the objects now below ground to be returned to their owners. So, when trying on a suspicious object, don't do it on your own land!