It can be used with or without the article. I think you will see it far more often without it. An example of usage with the article is, "what is the danger in mixing those two chemicals?"

As mentioned above, you can speak of "the danger" when asking "what are the dangers" or "what is the danger". Otherwise, no article is needed. Some examples: "In danger": "He is in danger." "We're in danger of falling." "No danger" or "any danger": "Is there any danger of falling?" "There are no dangers to worry about." "There's no danger of losing." We would not say, "there is not the danger."