I like rock climbing but I am new, do you know if it's dangerous? 
Anything that requires to climb high in the air, up down, and across natural rock formations could be dangerous
Are there different skill levels? 
I do not know of specific levels, but rock climbing is physically and mentally challenging, it requires endurance agility and balance so you must start small 
I never knew it was mentally challenging. I am on the little beginners section. Any exercises I can do to improve my agility and balance?
A balance board I have heard is good for balancing, and of course weight training for strength is always good
Those would be smart ideas! I could practice on them during the week. Thanks! Do you have any other tips?
You need to know that most climbers do not downclimb or go back the same way they came because of the additional risk of injusry and accident
Rock climbing
rock climbers do not usually climb back down the route, or "downclimb", especially on the larger multiple pitch class III–IV, or multi-day grade IV–VI climbs. 
Rock climbing is a physically and mentally demanding sport, one that often tests a climber's strength, endurance, agility and balance along with mental control. It can be a dangerous activity and knowledge of proper climbing techniques and use of specialized climbing equipment is crucial for the safe completion of routes.
Because of the wide range
the band, Smith said "you can't rock the boat in this country! It's really not allowed to play anything that might go against the grain of the current fashion. I think it's because we've been around for a long time and we refuse to go away. We really, genuinely do love what we do and there's a bunch of people over here who like it enough to make us carry on. But you know, British media... I mean, every other country in the world know