From the Super Mario Wiki
Ads keep the MarioWiki independent and free :)
Mario in Danger status.

Danger is a status effect that appears in all Paper Mario games. It occurs when Mario's or any of his Partner's HP gets low, causing a bubble with the words 'Danger' to appear above them. An alarm-like sound is also heard to inform that the player should use healing items. In the first two Paper Mario games, a character is in "Danger", when his or her HP gets between 2 and 5. If it goes down to 1, the character is in Peril. Certain Badges like Power Rush and Close Call can be used only when in 'Danger'. If an enemy performs an attack with multiple moves and Mario or his partner goes 'Danger' between the moves, equipped badges will affect immediately even during attack. In Super Paper Mario, the status is called 'Critical'. A hero is 'Critical', when his or her HP gets below 20% of maximum HP. Because there are no actual badges in this game, this status is completely useless, except to alert players that they should use a healing item. In Paper Mario: Sticker Star, 'Danger' is known as 'Tired'. It occurs when Mario's HP is at most 30% of his maximum HP. When tired, battle music turns off-key and Mario starts panting. There are no ways to make use of this status. This goes for the same with Mario's foes but without the off-key music if Mario does not have 30 or less% of his HP. It also makes the characters move back and forth sideways when this happens knowing that the player has to be warned. Fleeing also won't be a choice sometimes since Mario will fall on the ground at points or if the player chooses this one too many times and if Mario does not have enough HP to survive the attacks, he will fall to the ground and an automatic Game Over will occur.