The risk of damaging your system isn't that great; the only way you'll kill the laser is if you ignore that it's struggling to read the disc and let it seek and reseek over and over again 'til it dies.
Once you get a system that can reliably read discs (some never will) and feed it good rips burned to media it likes, there's nothing to worry about.
This. The key is making sure you have a good system. Very high variance with these things.
Some good affordable CD games that will play on every Duo system:
Gradius II
Download 2
Macross 2036
Valis I, III and IV (II seems to be an acquired taste)
Ai/Cho Aniki
Super Raiden
Rayxanber II
Neo Nectaris
Splash Lake
Buster Bros
Forgotten Worlds
Dungeon Explorer II
Exile
Pyramid Plunder
Monster Lair
Super Darius
Sidearms Special
Motoroader MC
Great RPGs with good guides:
Far East Of Eden II Manjimaru
Far East Of Eden Fuun Kabuki Den
Neo Metal Fantasy
Legend of Xanadu II
Anearth Fantasy Stories
Tenshi no Uta
Tenshi no Uta II
A lot of these titles are dyno-mite. Exile, the Cho Anikis and Dungeon Explorer II are particular favourites of mine from among this list.
Many of the JRPGs go for a pittance as mentioned, because moon runes but some are translated or one can use a guide. Well worth it for people that like RPGs.