I hear ya, I thought the same thing during my first go through. Good shoes and proper form will keep you safe. Don't try to stay with the group, go at your own pace.
You want to have shoes that have good lateral support & cushioning. So court or crossfit shoes are really good for Insanity.
When I did Insanity I used Nike Freerunners running shoes, and the lateral support was not good (after all they're running shoes). For Asylum I bought Reebok CrossFit Nano 2.0s (which it turns out Shaun T is using right now) and they've served me well through Asylum, P90X2, Les Mills Combat and now Body Beast.
I twisted my ankle towards the end of Insanity doing switch kicks -- I had less room in my workout area then and drifted backwards into my couch. Wasn't too bad, I put some ice on it & wrapped it up during my workouts for the next few weeks. I also tweaked my knee at one point & worked with it wrapped as well.
I didn't injure myself during Asylum. (For me, P90X came between Insanity and Asylum) but I did injure my back not far into P90X2 and was out for a couple weeks due to that.
Injuries suck. But they're almost always because your form is bad. The lesson to learn is not to push yourself on exercises until you're sure you've got the form down, and if your form starts falling apart as you're doing the exercise it's time to stop & take a quick break or drop the weights.