Yes -- if they're in the same amniotic sac then there are a bunch of risks involved, too.
If they're in the same GESTATIONAL sac, then they're still identical, but they may split at an earlier stage and may still develop separate amniotic sacs. This is actually relatively common. Problem here is that this kind of twin often shares the same placenta and other issues may develop.
There are always more risks in identical twins than in fraternal twins -- but there are still *plenty* of successful identical twin pregnancies
