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They broadcast on chain transactions for you in case your peer tries to cheat you while you're offline.
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OK, I answered too much on SN. I will invite @TonyGiorgio and @roy to answer this one.
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I would say none. What is your concern?
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Some things I have been thinking about are centralization risks, channel state privacy, false positives. A false positive occurs when a watchtower incorrectly identifies a regular, honest transaction as an attempt at fraud.
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Idealy you run your own watchtower on another server than your LN-node in a different network. Then you don't have any of those problem you mentioned. In my opinion a false positive can only happen through a software bug which will be fixed if discovered. You can read more about the watchtower here: https://docs.lightning.engineering/the-lightning-network/payment-channels/watchtowers
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