Vit K is to prevent bleeding in the brain after birth, and Vit K promotes blood clotting. This bleeding on the brain happens in about 3/100,000 births without the shot. Some studies say more, some say less, but you get the general idea.
If you opt to breastfeed, you yourself can take Vit K spulliments, or they can be given to your infant orally. The shots are "more effective," but at least there are other ways for your infant to get the Vit K (breastmilk and suppliments) if you opt not to get the shot.
As far as the exact medical risks of the shots, I don't know. I heard there was a very small link to a rare skin disease at the injection site and a very minute possible risk of childhood cancer, but I do not know the specifics. Do some research.
If the vit K can be given orally though, why take the risks, you know?