Any standard USB HDD will work so long as it's formatted to FAT32 and has enough power (2.5" HDDs may not work with a USB cable that's 1m or longer). To get NTFS drives working, you need to adjust the configuration files for MultiMAN with the details of the HDD itself.
As for bricking, with the exception of Wanin's V1 CFW (V2 fixed it), all CFW has the same (minute) chance of bricking as any official Sony update. The possibility exists, but the chances of it happening are so small that nobody cares.