One of the risks is anoxic brain injury, scary stuff. An insulin overdose seems like one of the worse ways to catch a bus, if one was going to.
If you want to see the consequences, give "Louis Theroux - A different brain," a part from being an interesting documentary about the brain, one of the cases is an insulin OD attempt gone wrong (I don't know why it went wrong.)
Also it's difficult to get stats about this, because;
Prim Care Companion J Clin Psychiatry. 2009; 11(5): 258–262.
doi:
10.4088/PCC.09r00802
"Large numbers of patients with diabetes present to emergency departments each year with hypoglycemic episodes of "unknown" etiology; it is likely that a significant proportion of these represent intentional overdoses. However, published data on this topic are rare, and they consist mostly of case reports or small case series. The difficulty in estimating the incidence of suicide attempts via intentional insulin overdose stems from the relatively narrow therapeutic index of insulin (ie, a very small therapeutic dose range above or below which could cause significant toxicity or lack of efficacy) and from patients who conceal the intent of their actions."
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC2781038/