Bricking isn't the only risk, just the most-catastrophic one. Other things people have experienced include:
- data loss (due to something going horribly wrong and having to reflash over, without having a backup)
- battery life issues
- reception issues
- mysterious FCs
- bluetooth problems
- button issues (like the one where the home button goes crazy)
Some of these can be extremely hard to pin down, since not everyone experiences them. If they're not reproducible 100% of the time, often the ROM dev can't do anything about it. The home button issue, for example... when I mentioned it several other people piped up and said it happened to them too. I've since seen threads with more people posting about it. But so far, no real ideas or solutions.
No one said that Eclair isn't full of bugs too.

Of course it has bugs and issues... if it didn't, people wouldn't be itching so bad for 2.2. The question is: is the trade-off worth it? That question has no one answer and has to be decided by each individual in an informed manner based upon their needs, priorities and technical skill. But people get extremely ruffled when you suggest that the custom ROMs have issues too, and so those that mention it get flamed and the info suppressed. It's unfortunate.
I've stated dozens of times that I'm not against the use of custom ROMs. It's just when I suggest their use isn't a perfect world or 100% safe, people think that I'm a hater. I'm just honest. I'm sorry I don't sing their praises... it's just that they get enough of that as it is.

The rest of you are doing a fine job making sure every newcomer knows the reasons they should flash a custom ROM before they've even gotten their first charge on their new Captivate.

Stock Captivate is not a perfect world... and *gasp*... custom ROMs aren't either. It's a choice.