The following example shows a perfect example of what can go wrong if a car isn’t properly set on a dyno. What we have here is a Shelby GT500 which was partially damaged at a dynamometer in Sherbrooke, Quebec.
It happened most likely because the GT500 had simply too much power which the dyno couldn’t match. It exploded into lots of pieces which damaged the rear end of the car, including wheels, suspension and probably gearbox. Although security was not very good at that point, luckily nobody was hurt.