Alpha particles make up roughly 50 percent of the natural radiation exposure, mostly emitted by Radon 222 decays. Though they do not even penetrate a sheet of paper or more than a few centimeters of air, alpha particles are in fact quite a health risk.

The reason is that alpha particles, while not terribly high in energy, pack quite a punch. That is, they are relatively heavy and tend to release their kinetic energy all at once, thus probably damaging something in biological tissue. Compare this to example beta radiation, ie electrons, that are scattered a lot and get rid of their energy in more manageable portions. Alpha particles therefore have been assigned a high "quality factor" for the calculation of radiation dosages - see the writeup on sievert for details!

Besides, Radon is a gas - that means you can breathe it in. And suddenly there are lots of delicate pulmonary alveoles within the few centimeters radius. And Radon is everywhere, it is generated in the Uranium decay chain. It literally seeps out of rocks and tends to accrue in cellars and the like.

Moral of the story: Do not ingest alpha emitters!