Ultrasound is not without risk. The general advice is to follow the ALARA principle (as low exposure as reasonably achievable). In the early 90's the FDA under pressure from manufacturers approved a 7-fold increase in the power output of ultrasound. Part of that approval was that ultrasound machines show feedback to technicians on estimated amount of tissue heating. That's one of the main concerns. E.g., in a fetus, heating tissue above 4 degrees or so causes damage and that level of heating is possible, especially around areas of bone.

Good presentation: http://radiology.ucsd.edu/body_image/pdfs/visitors/bohazards...