In short: radon gas raises your risk of developing lung cancer. After cigarettes, it's the second leading cause of lung cancer in America (mixing radon gas and cigarettes is probably not a good idea, either!). But, much like with cigarettes, the effects of radon gas aren't absolute.
What do I mean?
If you smoke one cigarette a week, your chances of developing lung cancer don't suddenly sky rocket, don't equal the chances of someone who smokes a pack a day. Likewise, with radon gas, it's not a huge threat when the concentration is low. Hence, radon gas encountered outside, in the great outdoors, is negligible.
It's when the concentration increases—as happens when a poorly-ventilated home contains a leak in the floor through which the radon seeps in, and becomes trapped because there's no clear way out—that the danger increases, and the effects of radon gas become something to worry about.
It's prolonged exposure to an environment that has high levels of radon gas concentration that are dangerous and should be avoided—or, better yet, fixed.
The effects of radon gas are dangerous only in particular situations. But, when they are, they are dangerous, indeed.