Am I running some risk by restricting myself to ETFs as an investment
Yes there are risks here. First, be aware of what strategy are you using with the ETFs as if you invest in 30 or more of them, you may well wind up with a rather confusing combination of funds. Be sure you know what strategy you have for using ETFs with ideas like asset allocation, rebalancing and diversification as some ETFs may not necessarily be that diverse if one gets into the specialized sector ones for example.
Is there anything I should pay attention to when selecting ETFs, other
than the expense ratio and how the underlying index helps me
Be aware of the purpose of the ETF as JoeTaxpayer's comment on leveraged ETFs is worth noting. How liquid is the ETF, what is the size of the ETF and be aware of various strategies of how indices can be put together as while among US large-cap indices there may not be that many big shifts, in small-caps and a few other areas there may be differences as companies like Russell will re-constitute their indices twice a year while S & P does a bit more management of their indices.
The liquidity is how many shares trade each day as if the volume is low then you may run into greater gaps between the share price and the underlying Net Asset Value of the shares as the creation/redemption is usually done in blocks of 50,000 shares. The size of the ETF is the market capitalization as I could imagine some of the smaller ETFs eventually being shut down. An example here is Merrill Lynch's HOLDRs product that existed for a while.
The index reconstitution is worth noting for a couple of reasons:
Purity of style. If a small-cap fund could let its winners run, they would then become mid-caps or large-caps and thus you aren't diversifying in reality. Some people may slice and dice things rather finely and thus one may not be aware of what ETF is covering which market segment. Thus, this is more a about how well does the fund handle style drift.
While the same market segment may be covered, there could be different ways to look at this style. For example, there could be ETFs in the small-cap area that deal with the smallest stocks out there compared to others that deal with larger stocks that still make up what could be seen as small-cap stocks by some.