The first major danger is borrowing against your future self. By using a payday loan, you are giving up part of your future paycheck. Unless you budget carefully you will need another payday loan with your next paycheck to make it through to the third payday and so on. This could set up a series of payday loans that may be impossible to pay off.
One last, well-hidden danger is that this loan can affect your credit score. If you struggle paying back your loan, it can be sold to a collection agency. When your loan is sold, it will show up negatively on your credit score as a non-payment of a loan. Then the collection agency will be merciless in trying to get you to pay your loan back. This leads to threatening phone calls and nearly continuous mail.
To avoid this drastic financial step, ask for help from friends and family, go to a bank and ask for a small personal loan, talk to organizations that help you set up a budget, and go to other organizations that will help you financially get back on your feet without the pressure of a payday loan.
Here is a short list of resources to get you started:
The Department of Justice offers a list of Approved Agencies for credit counseling.
Here are questions to ask a credit counselor: https://www.consumer.ftc.gov/articles/0153-choosing-credit-counselor
Nerd Wallet can help you set up a budget.
For even more financial advice, Dave Ramsey has free resources.