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Enter, stranger,  but take heed, Of what awaits the sin of greed, For those who take, but do not earn Must pay 
most dearly in their turn...

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Abandoned buildings have many hazards ranging from killers like blue fluffy asbestos, to manageable like asbestos cement sheet walls, to unsafe structures, and 'other people' (-usually 'the walking dead') within the structure.  You cannot expect to be warned about any of these things. The owners don't want you there and are not obligated to protect you. That's up to you.

Other hazards such as rusty nails could lead you to a nasty case of tetanus so keep your shots current.   Other sharps such as a 'dead-enders' syringe could give you Hepatitis C or worse AIDS.

Unsafe structures damaged by the ingress of water, rot or vandals could collapse at any time.

Chemical and material hazards abound in industrial sites.  Industrial equipment in a chemical plant could be contaminated with  lead, poisons or biologics. The best bet is to simply touch nothing and be careful how you treat your clothes when you get home. Right into the wash. At some places you might wipe down your footwear and bag your clothes and bin them afterwards.

Mold spores are a concern....some mold like warm humid places (like lungs).

Criminals can be a major hazard. Some abandoned places might house a pop up meth lab for example. 


Wild Animals  are a concern as well.


Always be careful and mindful.