A lot of people do it and it's perfectly healthy if done properly. I can think of a couple ways it might cause you minor health problems, but they are easily avoidable.

If you're getting especially irritated, make sure you keep the area nice and clean. You'll probably get tiny cuts from shaving from time to time, and if your hygiene isn't good, they could get very irritated or infected. I like to use a cotton ball with witch hazel (squeezed out so there are no drips) to kill germs and freshen up between showers and after shaving, and I very rarely get an ingrown hair or irritated section. And if your skin is really red and ouchy, take some time off from shaving.

If you find you're getting yeast infections when you shave, you might want to use a different shaving product. I use an unscented shaving cream by Sliquid because my parts can be sensitive about fragrances, and I don't have any problems.

I've been saving four five or six years now and I've never had any problems. My gyno has never said anything to me about it either.

Exfoliate. If there's no dead skin clogging up the works, you should be able to avoid in-grown hairs, though NOTHING stops the itching when it starts to grow back.

I think the worst thing that can happen is getting minor cuts and ingrown hairs from razor burn.