(Pascal's wager says that we are better off believing in the claims of Christianity, because there is danger in not believing them if they turn out to be true, whereas there is no danger in believing them if they turn out to be false.)
If we agree with that argument (called Pascal's Wager), we have a real problem. We must then believe each and every one of the religious claims made by each and every one of the competing religious systems in the world, for fear that each and every one of them might be right.
What this shows is that the argument fails to take into account the fact that when deciding to take any claim seriously, we generally require compelling support for the claim. We don't generally accept any claims in our life just because of the stated consequences of not accepting them. Take for example the following to cases:
1. A bully holds his fist up to your face and says "give me your lunch money or I'll beat you up!"
2. A missionary his bible up to your face and says "believe in the fact that someone who, according to this book, lived 2000 years ago, performed all sorts of physics-defying miracles, brought the dead back to life, brought himself back to life, and promised his disciples that he could move mountains for them if their faith was strong enough, was the son of God, or else you will spend an eternity in a fiery hell, because my book considers that a proper punishment for simply failing to believe this claim!"
It should be clear that the first claim has some evidence backing it up (i.e. the fist). There is no even mildly compelling reason to believe the second claim. If we believe it just because it threatens our future, we should believe all such claims about the nature of redemption, including those of Scientology, Mormonism, etc.
Moreover, it is not true that these claims will not harm us if they turn out not to be true, since they will inform our world view and the way we live our lives. We cannot simply live our lives as we normally would once we accept that God is our saviour; I, for example, would stop paying any attention to Buddhism or meditation, since there would no longer be any need for it, and would instead spend my life praising a God who, if the claims of these many religious groups then turned out to be false, didn't even exist. Besides leading to a terrible rebirth, the dissonance between my belief and reality would certainly cause harm to both my psyche and my relationship with the world around me.
Hope this helps.