It's perfectly safe to do with a shotgun that's in good repair, with proper ammo for that gun's chamber length. I wouldn't want to shoot many slugs through a tighter choke, but some modified chokes will do okay with slugs.
The tighter you go, the more pressure there is on the barrel and action, and the more stress is placed on the muzzle, which is thinner than the rest of the barrel anyhow... and this is especially true of newer guns, since their muzzles are threaded for choke tubes (the threading process removes metal from the barrel).
But with the right choke (rifled, cylinder, improved cylinder, or possibly modified) screwed or built into the gun, no problem.
- Russ Chastain