Who in Fahrenheit 451 has to take a risk?

Montag takes the risk of bringing home books. Since books are illegal to own, he is risking ruin for himself and Mildred. He feels compelled to make this choice but is so worried about it that he dissociates from what he has done. He says his "hands" took the books, as if they are not part of his body. It is as if he cannot, at first, admit to himself that he has willingly done what he his profession has taught him is evil.
As he begins to accept his choice, he appeals to the ex-professor Faber for help. Faber is suspicious and particularly does not want to help a fireman, an enemy to books. However, Montag's passion and sincerity win him over, and Faber equips him with the seashell communication tool that Montag wears in his ear so that he can keep in touch with Faber. Faber does this even though he realizes he could be destroyed by his association with Montag.
Mildred arguably could use some risk-taking, as Montag understands, to relieve her suicidally empty life. However, she is unable to rise above conformity and social convention.

In Fahrenheit 451, Montag is perhaps best known for taking risks. He takes a risk when he steals books and hides them behind the grille of his ventilator. He also takes a risk when he starts reading the books, because he knows that his home could be burned or, even worse, he could lose his life. Similarly, Mildred takes a risk by agreeing to read his books instead of reporting her husband to the authorities. 
Montag also takes a risk when he reads the poem, "Dover Beach," to Mildred and her friends in part 2. He knows that any of these ladies could report him to the authorities, but he is so disgusted by their lack of empathy and emotion that he cannot stop himself.
Faber also takes risks in Fahrenheit 451. Notably, he agrees to help Montag bring down the fireman system, and he gives Montag a two-way communication device. He also takes a huge risk when he helps Montag to escape the Mechanical Hound and flee the city.
Risk-taking behavior is, therefore, central to the major characters in Fahrenheit 451.