Yes, there were a bunch of people hurt a few years ago during Macy's. I don't remember if anyone died or not. It was a big mess. Wind caught one at an intersection and drove it into the stands as I remember. It wasn't the first year they had trouble but it was probably one of if not the worst.
The whole route that the Macy's parade uses has been reconfigured to make it easier to get around and they now monitor wind speed all along the route, especialy at intersections. All the street lights and traffic controls that used to over hang the roadway are now set up for easy removal for the parade so they can't catch lines.
They have a whole bunch of rules in place, like two tractors per balloon plus all the handlers. The guys I was working with say the tractors have made balloon handling not just safer but allot easier on the handlers since the tractors take the worst of the strain now.