Echoing input w/o sanatizing - what is the danger

I've always heard it is bad if you let a user type some input, then show it back to them w/o sanatizing the code. Eg. I have a form, where the user types something, they hit submit and it submits to itself then prints back to the user something like, account created with password: whatever they typed. Why and how do you sanatize what they typed before echoing it back to them? I figured it was something like they could type in PHP commands but I tried typeing phpinfo(); into the box and submitting. All that happened is that it echoed phpinfo(); Can someone explain this?