The only real risk is mad cow disease and the USDA has a big, big secret they don't want the public to find out. They tell you that as long as you don't eat brain spinal tissue (which includes T-bones unless I'm badly mistaken), there is no risk. Research has come to light that the method of killing cows by driving the spike into the forehead actually vaporizes parts of the brain, while the heart still pumps for up to a minute in some cases. This in turn pumps potentially infective proteins throughout the meat of the animal.
My response, eh, it was worth it. That was some good eatin'.
Frankly, the risk is so low as to be non-existent for most of us, but if the general public found out pandemonium would break out. The rate of BSE in the US is quite low, and proper control of feeding practices keeps the risk even lower.