While parents shouldn't threaten their teens or induce fears about occurrences that are very unlikely to happen, you certainly should share with your teen the real statistics relating to the results of teenage risky behavior. What you want to do is give your child accurate and clear information about what goes on in the society they live in, and give them the tools to resist peer pressure, consult with people who have more experience, learn how to make decisions that reflect their values, and not to react impulsively. The real statistics and facts are pretty grim as they are; they do not need any exaggeration.
When you present your teen with information, don't turn it into a lecture, but rather try to solicit your teen's opinion. Stress that you're concerned about your teen getting involved with risky behavior because you love him/her and not because you're trying to be a wet blanket. Of course, if your teen consumes a steady diet of television, videos and movies that give the exact opposite messages than the ones you're trying to teach, you may be fighting a losing battle. If you try to talk to your teen about the dangers of drinking and driving, but your teen constantly watches TV versions of daredevil exploits where the car gets smashed up but the driver walks away unscratched waving a beer, don't expect your words to have much impact. Similarly, if your teen's peer group engages in the type of behavior that you don't want your teen to copy, you may have to work hard to find a way to motivate your teen to be part of a group that sets a better example.
Teenagers do listen to older teenagers, so if they hear from older teens their regrets about criminal or reckless behavior that resulted in a jail sentence, drugs experiments that led to addiction, or unplanned pregnancy, they may learn from the mistakes of others.