Cyanogen is a good ROM. When a new version comes out, there may be a problem or two, but that's quickly straightened out. The ROM is so good, in fact, that one phone manufacturer uses it as it's stock ROM.
That having been said, yes, flashing a ROM, any ROM, voids the warranty on most phones. (I believe that HTC allows you to, but doesn't cover problems that you cause, like bricking your phone [which is a user error, not due to the ROM, if you use a known-good ROM like Cyanogen].)
As far as bricking the phone - will putting different tires on your car cause you to drive into a tree? Probably not, but driving the car wrong will. Flashing the wrong ROM (there's a different version for each model phone), flashing it incorrectly, having the power go out (or having the phone's battery die) during flashing will most likely soft-brick the phone. But a soft brick can be recovered from (easily on most phones. (A hard brick means that the phone does the same thing with or without a battery - nothing. That's VERY difficult to fix without special equipment (except with Samsung phones - the dongle costs about $2 including shipping - and that's a ripoff considering what's in it - the padded envelope it comes in costs about as much as the dongle). But you don't normally hard-brick a phone by flashing a ROM - that soft-bricks it if it's done wrong and, depending on the phone, there's one or another pretty simple way to recover from that.
Question. What is there in Cyanogen that you want that you don't have on your stock ROM? The look? You can change that by changing wallpaper or even installing a new launcher, and those don't brick the phone or void the warranty. And there are all sorts of other apps to change the look and feel of the phone without flashing a new ROM. Flashing Cyanogen isn't going to make the phone perform better, it won't give you a bigger screen ... it's just another way of implementing Android.