I'll tell you in terms of the biggest problems that I see frequently.
Chinchillas have very sensitive digestive systems and they are best off to not have anything other than hay and pellets. Some people think that treats are needed to keep them healthy but the fact is that is just not true. For those who do feed treats I recommend not just going to a list of allegedly safe treats but see what other pet owners actually feed and what is proven to be safe. Personally I've stopped feeding treats because even safe treats carry potential risks.
Timothy hay is recommended. Alfalfa hay is usually not recommended unless there is a health issue where you're trying to keep the animal's weight up. Other types of hay (technically alfalfa is a legume), as long as it's hay, green, dry, and free of any mold or foul odor from being damp, are acceptable. Mold poisoning can be fatal and is not unheard of.
Pelleted diet is a big troublemaker for pets because diets marketed and sold for chinchillas can be poisonous to them although it may take a year to manifest as liver and dental problems. The plainest pellets are best. Chinchillas will pull their favorite things out of a mixture and not get the other things they need. Diets containing fruits or nuts must be avoided.
Make sure chinchillas have constant access to hay and pellets. They are self regulating and interruptions in their diet can throw off that balance.
Dental problems are the number one killer of chins. Once they start they are almost always terminal and progress into a nightmare of issues for pet owners. I think mostly they are due to poor breeding practices. A reputable breeder will remove maloccluders from their line. In some cases it can be caused by a sugary diet. In other cases it can be from injury. Injuries to the incisors, while rare, can be caused by dropping a chinchilla, even a few feet off the shelf. I've seen it happen on our board. The last one fractured one of its teeth and I think they ended up having to euthanize it if I remember correctly. Make sure you can safely handle the chinchilla and always release it at floor level.
Chinchillas should be kept no higher than 75 degrees F. Heat related illnesses are fairly common here but are usually not fatal. The worst seems to be when you have a chinchilla out exercising on a hot day. Most fatalities seem to happen during power outages from summer storms. Know first aid for heat exposure. The quickest measure is to immerse half of the animal in lukewarm water for a couple of minutes and then have it treated for seizures. If you have to immerse a chinchilla in water make sure its core temperature stays as consistent as possible until it's completely dry. Temperature shock can be deadly.
Bowel obstruction is a notable issue. Actual diagnosis is rare but I've seen pet owners come in and their pets have symptoms of it but they are not usually diagnosed. I know that paper based beddings have been positively identified as a source of bowel obstructions from foreign objects, as well as cloth and plastic items that get chewed on. Fleece chinchilla beds and items are a risk although many pet owners use them and monitor for any damage caused by chewing which is fine as long as items are remove once it has been identified that their pet will chew them. Plastic or PVC that can have its edges chewed are dangerous. Only wood and metal items should be used in a chinchilla's cage. Most pet owners do not have post-mortem exams done so it's hard to know how frequent it really is.
Another big problem that has been much less reported as word gets out is using wire hay balls. These are balls that hang up and you put hay in them. The chinchillas get their heads in it and they can't get back out. Deaths have been reported with this as they panic and struggle. Anything with wires or gaps where a chinchilla can get its head into should be avoided.
Parasitic infections are somewhat common. Had it happen to one of mine. Chinchilla feces should be mostly dry. If they are mushy or wet for more than a couple of days it's time to get a fecal culture done. This is usually not a serious problem as long as it's detected and treated early.
Injuries are somewhat common. A chinchilla can do a lot of damage to itself if it jumps out of your hands while you are holding it. Its feet and legs should not be grabbed and handled. The safest way to hold a chinchilla is to let it stand up on your hand and steady it by the base of its tail. The base of the tail (not higher up on the tail which can seriously injure it) is a great place to hold a chinchilla. You can even dangle it by the base of its tail if necessary to avoid being bitten. Although most chinchillas don't bite some will if provoked. A chinchilla fresh from a breeder will usually need to be handled frequently to become more tame. A good breeder will have a pet you can handle. It's good to handle them several times a day. Tameness = safety.
Tail injuries are fairly common. They can break off towards the middle if they are caught in doors, drawers, or pulled by little kids. Although this kind of injury is gruesome it's usually not serious. Foot injuries can be more serious, especially with the back feet as they are long and can snap. This kind of breakage usually occurs when a cage is fitted with wire shelving or ramps. Never fit a chinchilla's cage with wire shelves or ramps. Ever. This is also true for other rodents.
Electrocution is notable. I've seen this on occasion. Never let a chin roam around in a room that has not been safe for them. Power cables are very attractive to chinchillas. They chew through them butter and death is usually slow and horrible after the event. Please warn everyone about this hazard. It is very preventable and yet I see this over and over.
Because chinchillas are very fast and very quiet having one get loose is particularly dangerous because they are easily stepped upon. I know of only one chinchilla that survived this kind of injury because only its tail got underfoot. I know of a child who fell on his pet killing it instantly. Be very careful whenever a chinchilla is out and only let them out in a space that is prepared for them. I do recommend using a pet fence and this can be a good upsell for you. However, keep in mind that in theory a chinchilla can jump over them therefore they should always be supervised. Normally I let mine out in the bathroom since it's easy to watch them and easily made safe for them.
Chinchillas should be dusted every other day for no more than 15 minutes at a time. If they have symptoms of dry skin on the ears and feet extend the interval to once every two days. Paper bedding can also cause serious problems with dry skin (in addition to bowel obstructions as previously mentioned). Dry skin is usually not dangerous but it can be gruesome and result in blood mysteriously spattered all over the place. I see these cases on our board occasionally and paper bedding seems to be the main culprit. It can also be caused by poor diet, fleece cage liners that soak up urine which is highly irritating, and too much exposure to chinchilla dust which is much more rare.
Wood shelving in the cage is highly recommended to help with skin and fur conditions. Woods must be proven to be chinchilla safe. Some woods are toxic and can kill them just by inhaling the fumes. Cedar or cedar chips should never be used.
Try to keep their stress levels down as much as possible especially the first week you get a a new one in and monitor their fecal output and weight every day. If you see a drop in weight, especially with a chinchilla less than 1 year old, and exceeds 15%, you should have an exam done. Regular weighing is sometimes your only clue there is something wrong as rodents hide illness well.
Lastly there recently has been a rash of water bottle failures reported. Not sure why. Make sure you check your water bottle every day to ensure it is dispensing if that's not already part of your routine. Vacuum type water bottles are notorious for sucking shut with changes in temperature and barometric pressure. A valve type bottle is recommended although they can fail in other ways. Never hurts to check.
Hope this helps.