How do we define risk?
I see a few definitions coming out of this. The first is that the Pokemon carries certain liabilities that could potentially make it useless or easily dealt with, but can ultimately destroy teams that fail to do this. The second is that the Pokemon plays in such a way that it is frequently forced into situations where there is no "safe" option, but it can destroy teams if it makes the correct choice. A final possibility is that risk is putting the game partially out of the player's control. Baton Pass, luck reliant Pokemon, and moves such as Stone Edge represent this type of risk.
In terms of Pokemon who define this approach, Volcarona is basically the definition of the first. While Stealth Rocks or Rain Support will kill its most common sets, it can be an absolute monster provided that it can keep these away. Pokemon that are dependent upon the weather (Toxicroak, Venusaur) and Pokemon that are critically weak to Pursuit Trapping or Dugtrio also fit this bill to a certain extent.
The second approach tends to apply more to frail sweepers than anything, like the Latios example mentioned earlier in the thread. Zoroark also fits in here, as every turn it is in (or could be in) presents a new mindgame. This category tends to represent frail sweepers more than anything.
The third category tends to be seeing little discussion. Baton Pass is an amusing example of this, as it basically puts a lot of the game up to luck (crits) and team matchup. If the opponent has a way to get around it, they probably will. If they don't, they probably won't. While this is often discouraged as "mindless," it represents the high risk-high reward strategy on a team matchup level. Jirachi and SV Gliscor also represent the luck based side of things. SV Gliscor is usually outclassed, but if it does work it can be a rather nice reward. Luck management and Team matchups are parts of the game that present a risk-reward scenario, even if this is often viewed as a negative influence.
To an extent, the option of making a Pokemon that needs to bypass a certain hindrance to be effective seems the most challenging and possibly the most rewarding, as not only would it teach us about matchup and ways to balance out a Pokemon wiht a crippling weakness while still making it viable, but it would also fall into the secondary category. Any Pokemon held back by one or two factors will almost automatically make those factors a matter of constant concern for both players, effectively making both sides think every turn- and not just when the Pokemon is on the field.