I am the beginning of sorrow, and the end of sickness. You cannot express happiness without me, yet I am in the midst of crosses. I am always in risk, yet never in danger. You may find me in the sun, but I am never out of darkness.

Why this works

This riddle cleverly plays on the properties of the letter "S." It begins by highlighting that "S" is the first letter in "sorrow" and the last letter in "sickness." The phrase about expressing happiness refers to the word "smile," which contains "S," indicating that happiness involves this letter. The mention of being "in the midst of crosses" points to the letter "S" being in the middle of the word "crosses." Lastly, "always in risk, yet never in danger" shows that "S" is present in "risk" but absent in "danger," while also being found in "sun" but not "darkness." Each clue artfully leads us to the conclusion that the answer is simply the letter "S"!