There are a great deal of urban legends surrounding body modification; they tend to fall into two main sections: "history" and "risks."
Especially in the realm of anything potentially erotic or taboo, the history of body modification has gone largely unrecorded. As such, many individuals (Doug Malloy being a good example) have speculated, sometimes fancifully, as to the origins of piercings. Many of the histories you hear for piercings such as Prince Albert having a PA, navel piercings being marks of Egyptian royalty, or hafada piercings being of Islamic origin are almost entirely unsubstantiated.
We've all heard that an eyebrow piercing can paralyze us, that we can bleed to death or get a brain infection from a tongue piercing, or that we can destroy our liver if we pierce our belly button incorrectly.
These tend to be either entirely false, or true in the same way that it's true that "if you get a paper cut, you could get a fatal infection" ... Which is true of course, but it's unrealistic, unlikely and misleading. The fact is, there's no risk associated with body piercing that even comes close to the chance of you being killed in a car crash on the way to getting your piercing.