Para-sailing is a fun experience, though relatively mild once you are up on the air. The key to a safe para-sailing experience is to simply go with a registered para-sailing company. If you try to hook up a parachute to the back of your own boat, you might end up getting hurt. However, if you go with a professional, you can simply sit back and enjoy the ride.
What should you worry about? Making sure that you don't bring anything that could fall off of you and into the ocean below.