As far as health risks involving for both drugs with possible death as an outcome there is pretty much only liver damage to worry about. Obviously you can get drunk and puke on yourself and die, and with injectable AAS you can get a systemic infection and die, however both of these are highly unlikely in most cases (especially since you don't drink much), and the latter can be treated with antibiotics and takes quite some time to develop. So as said, liver damage is the only worry.
Alcohol and steroids cause liver damage along similar mechanisms. The liver is a highly regenerative organ, so slight damage is done each time you drink alcohol or use AAS (predominantly orals), and each time your liver repairs itself with no impact to health. When you binge drink excessively or use AAS (again predominantly orals) in too high of doses and/or for too long of a period of time, your liver will not be able to repair itself to the same extend that it will be damaged, leading to permanent liver dysfunction. With enough permanent liver damage you can compromise health, and eventually lead to liver failure and death.
However, each of these situations take a long time to occur. There are many more cases of alcoholic liver cirrhosis than there is liver failure from AAS, but there are also many more people who consume absurd quantities of alcohol. This being said, it depends upon your lifestyle. We have had discussions trying to determine the comparability between alcohol and AAS liver stress, but it is virtually impossible, even with a proper scientific study, to determine this, especially since there are so many forms of AAS available. One of the worst things you can do is use oral AAS and consume alcohol at the same time, which sadly many of the less intelligent users do.
Provided you keep the oral AAS dosing to recommended guidelines and keep the cycles short you should be absolutely fine, provided you don't have any preexisting liver dysfunction. It is very hard to cause liver dysfunction with most available injectable AAS as these are not metabolized by the liver as orals are. There is no overdose established for injectable AAS, and even prolonged use at high doses is very safe when comparing the effects to most OTC pain killers or prescription drugs.
Conclusion: if you stick to what is tried and true you will 99.99% be fine. Most horror stores come from people who abuse oral steroids, especially the designer steroids or pro-hormones like M1T, which are highly liver toxic. To be completely safe you could have your liver function tested by simple blood tests through your doctor to monitor health.
There are many dangers associated with AAS that don't regard liver function, such as thyroid function, cholesterol and lipid profiles, blood pressure, mental stability, etc. While AAS don't directly cause immediate health risks with these, and these likely will not lead to death provided you are in good health to begin with, they can cause long-term degradation of quality of life. However, provided you did not abuse AAS these effects are temporary and do not cause an immediate danger to life.
Other drugs such as diuretics, peptides, stimulants, etc. do have other health risks, but that is a different post altogether. It is the combination of these various drugs and the absurd levels of dosing (typically found in professional bodybuilding and the more uneducated users) that cause permanent or serious health risks, and sometimes death.
There is no documented case (that I am aware of) of an individual dying or experiencing life-threatening or permanent side effects due to a normal cycle (moderate dosing and cycle length).