It mentions it quite a bit, IIRC. And even if they don't explicitly say it, it's implied as a possibilitity in just about every ep, LOL. I haven't counted, but here's what I remember:
chasms
Terrible Tunnels
Invisible Gargoyles
weird creepy hand coming out of the wall
singing cacti
blind golem
poisoned water
various Gorg traps
cave-ins
fear (allegedly, of course not really as it was a misunderstanding)
famine
cold
heat
dust storms
hairy monsters (before being befriended, also see Gorg traps)
war
illness
Fraggle Rock is treated like a kid's show, but the strange thing is ... these poor characters are at death's door about every single waking day of their lives. It's a wonder they don't all stay drunk or something to dull the anxiety, LOL.