There shouldn't be any if the switch is wired properly, but you don't ever want to take that chance. There's a "hot" wire and a "neutral" wire. The hot wire will bite you, and the neutral one won't (or shouldn't). If it's wired properly, the hot wire will be going through the switch, and turning it off will stop the current at the switch. If it's not wired properly, and the neutral is switched it will still turn the fan off and on, but the wires in the ceiling box will still be hot even when the switch is off. All the switch is interrupting is the current path back to ground once it's left the fan. -IMHO
The neutral can be connected to the hot through a device further up the line. The neutral is not switched. When all else fails follow instructions.