A thinner sidewall will make you more prone to damage, but it is still not that common unless your do something radical.
It is also the quality of the rims, if your buying cheap replicas they are probably more prone to problems than the real thing. I like my 17" rims, because they absorb quite a bit of the bumps in the road which is nice, since my car is a DD. If your car is only driven on weekends and/or in the summer then go for the 18" or 19"'s.
How often do hear of someone cracking or bending any rims unless they were on the track or in an accident?