If it goes wrong, your motherboard is bricked. There's nothing you can do yourself to fix it (unless you're able to find a replacement BIOS chip and swap it for the one on the motherboard).
The biggest risk while flashing is power loss. Don't do it in the middle of a storm, and if you live somewhere with frequent brown/black outs then consider getting a UPS. Other than that, always perform the update from the within the BIOS itself, not through any application in Windows. Always make sure to download the BIOS for your exact mobo model from the manufacturer's website. If you follow those rules it's pretty safe.
But as said above, you don't need to update BIOS for a new GPU.