Unless the equipment is new or sterilised (sterilisation must be done ultrasonically in an autoclave) having a piercing can present a risk. The risk of infection can also be minimised if new jewellery, preferably from a sealed package is used. This also applies to self-piercing.
Most body piercing parlours in the UK operate to these standards. However, the situation differs across the country because regulation is carried out in different ways and varies from area to area. In some places it is done by local authorities, in others by licensing and in some places through bylaws.
The Department of Health have produced a model set of byelaws (click here) that set out the standards that you ought to expect from a piercing salon. Remember though that you are unlikely to find these standards applied in developing countries. There is also a risk in sharing items of jewellery that go through the skin.