I gave Lydia a bunch of exploding crossbow bolts and we then went to the front gate at Whiterun. A master vampire showed up and the guards took him on with swords while Lydia shot him with her crossbow. Well the explosions not only effected the vampire, but the guards involved in the melee as well, so they turned on her. (Last mistake those guards will ever make. I would be afraid to tackle Lydia, and I am the Dhovakin!) Fortunately, this was outside of the town so she only killed the guards. If it had been inside the town my guess is Lydia would have ended up killing all of Whiterun.
Just as you should use caution with fireballs, be careful with exploding crossbow bolts.