I like rock climbing but I am new, do you know if it's dangerous? 
Anything that requires to climb high in the air, up down, and across natural rock formations could be dangerous
Are there different skill levels? 
I do not know of specific levels, but rock climbing is physically and mentally challenging, it requires endurance agility and balance so you must start small 
I never knew it was mentally challenging. I am on the little beginners section. Any exercises I can do to improve my agility and balance?
A balance board I have heard is good for balancing, and of course weight training for strength is always good
Those would be smart ideas! I could practice on them during the week. Thanks! Do you have any other tips?
You need to know that most climbers do not downclimb or go back the same way they came because of the additional risk of injusry and accident
Rock climbing
knowledge of proper climbing is critical, as well as proper equipment