A sound wave alone probably won't kill you. Crank the volume on a terrible song, though, and you just might annoy everyone to death.
Keep an eye out for a DAC with a headphone amp if you want to use headphones, as most but not all DACs offer this as an option – our Award-winning Chord Qutest DAC, for instance, doesn't have headphone features and is instead designed to slip into a speaker-fronted system, between...