The question presupposes that you are in a position to be Hamlet's ally, which means that you are probably a Danish aristocrat with some position at court, or possibly a student at the University of Wittenberg. In the latter case, you could stay safely in Wittenberg, but if, like Horatio, you were at the court anyway, your position would be fairly dangerous whether you were Hamlet's ally or not.
The first specific risk of being Hamlet's ally would lie in incurring the animosity of Claudius, the king. If there were any hint that you might materially assist Hamlet in avenging his father, there is no doubt that Claudius, who has already shown himself to be ruthless and treacherous, would be prepared to murder you. Killing Hamlet's allies who were not themselves members of the royal family might be easier and safer for Claudius than killing the prince himself.
The other major risk would come from Hamlet. His last words to his friend Horatio implore him to
Absent thee from felicity a while,
And in this harsh world draw thy breath in pain
To tell my story.
This is one of many indications throughout the play that Hamlet views death as preferable to life, a view he here assumes Horatio shares. Hamlet is reckless with his own life, often eager for it to end. One could not expect him to be much more careful of the lives of his allies, or to ascribe to them a healthy desire to continue living.
Hamlet is a man out of control, the proverbial loose cannon. The usual interpretation of his behavior is that he is shamming insanity, but this view doesn't entirely stand up to scrutiny. A man would have to have a genuine mental disturbance to begin with, in order to behave as he does, even if it's all part of an elaborate ruse to exact vengeance upon the king for his murder of Hamlet's father. So allying oneself with Hamlet is not what most people would choose to do—except perhaps out of unshakeable friendship, as Horatio does. Though ultimately, Claudius and Laertes are responsible for the catastrophe at the end, none of it would have happened without Hamlet's instigation in threatening the king, killing Polonius, and driving Ophelia into madness and suicide.
That said, given that the whole court is basically corrupt, to ally oneself with them against Hamlet doesn't seem like the greatest thing to do either. Hamlet is mentally disturbed and dysfunctional, but his intentions are guided by loyalty to his father's memory, not by a lust for power (in contrast to Claudius, Polonius, and Laertes). At the court in Elsinore, things have become so bad that no one has any good options, and even innocent people like Ophelia are destroyed.
The primary risk in being Hamlet's ally is danger. Hamlet is positive that Claudius killed his father and that his mother is somehow complicit. He will not rest until he proves this and avenges his father's murder.
However, Claudius is the king, and he is very powerful. Taking the rebel son's side against the person who is, in almost all of Denmark's eyes, the rightful king, would put you in danger of being spied on (by Rosencrantz and Guildenstern, for example), imprisoned, or even killed.
A second reason is that Hamlet is not really the leader type. Whether "mad" or not, he is indecisive, introspective, intellectual, impetuous, and immature. People close to him have a tendency to die. When he thinks someone is eavesdropping on him, for example, rather than have a reasonable conversation with them, he rashly stabs through an arras and kills his (possible) future father-in-law.
Although Hamlet has good qualities, especially his loyalty to his father, he is not suited to be king. He sorely tests the loyalty of his friends, like Horatio. While Horatio would die for/with him, Hamlet does plead for Horatio to continue living. Hamlet recognizes his friend's faith in a renewed Denmark.
Hamlet is undoubtedly an engaging and fascinating person. He is a witty, highly intelligent young man with an offbeat sense of humor. He's definitely someone you could imagine hanging out with. But as Hamlet is such a complicated character, there are downsides to getting too close to him. For one thing, he appears to be mad, or at the very least, pretending to be. This means that you're never quite sure where you stand with him. Is he really insane? Or is he just playing a huge practical joke? Or maybe there's method to his madness, and he is plotting a brutal revenge on Claudius? If that really is the case, then it's dangerous to be around him. This is high politics we're dealing with here; and in the dark and devious world of high politics, people get hurt. There's no doubt that Hamlet has right on his side; his father was murdered by Claudius, after all. But Claudius is no fool, and if he makes a move against Hamlet then you'll end up as collateral damage if you're one of Hamlet's allies.
Then again, you might find yourself being unwittingly embroiled in Claudius's wicked scheme to have his stepson assassinated. This is what happens to the unfortunate Rosencrantz and Guildenstern. They're old school friends of Hamlet and consider themselves his allies. Yet they end up being killed after Hamlet cunningly forges the letter from Claudius authorizing his assassination and alters it to order the assassination of his two friends instead.
The risks are many and the rewards are few. On the whole, it's probably best to give Hamlet a wide berth. Trouble seems to follow him wherever he goes.
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