Well, aside from being the perfect way to introduce hum (sometimes it
doesn't)...

It is essentially shorting your device.

To illustrate, picture device 1 playing a sine wave and device 2 playing a
sine wave 180 degrees out of phase. What happens when you hook their
outputs together? i = v/R. If i is too high, then it could conceivably
damage the device. It's going to depend entirely on the device - that is,
its voltage output, its output impedance, and the max current it can
handle.
Usually you'll be ok, but if these devices are worth something or are
difficult to install/uninstall, I just wouldn't risk it.

Hmmm. Well, I suppose that makes sense, but you would never play two
sources at once. So I suppose we are both right in that there is no
potential harm as long as you don't play both sources at once (your first
answer gave the impresson that merely Y-ing two sources together may be
dangerous), but if you don't trust yourself and you value your gear, you may
not want to take this chance.

I know it's better to be safe than sorry, but in the real world, wouldn't
you need two high-voltage sources playing EXACTLY the right sine waves at
exactly the right time (at full blast!) to cause damage? I say this because
I have Y-ed tons of stuff in my life with no problems nor have I ever heard
of anybody frying anything because of Y-ing.

MOSFET