People often use this phrase to convince someone to take a risk. For example:

Just send in your application. What's the worst that can happen? Even if they don't hire you, at least you'll have tried.

"What's the worst that can happen?" means that the negative risks of doing something are not very bad.

If someone is thinking about doing something dangerous or foolish, don't ask "What's the worst that can happen?" Instead, you might say something like "It's worth a shot."