In Breaking Bad Lydia strikes me as a very risk-averse person. Besides, she is apparently a mother of a little daughter.
Since she holds a position in the management of a large multinational corporation, presumably she is not desperate to earn money by any means - she should have a comfortable and legal income already.
Why would she want to work with Gus Fring at all?
I think the other answers are both partially correct, but what seems to be missing from them is a discussion of the narrative device that she inhabits within the overarching story.
Walt's journey (descent from morality) begins with desperation. He truly convinced himself that he was doing this to save his family from financial ruin, especially with the new daughter on the way. And so originally, his "Mom and Pop" operation with Jesse was just that, it was about family.
But then they have to deal with Jesse's competitors and former friends, and it becomes about turf and pride and "playing the part" of a drug dealer.
As the seasons go on, Walt becomes closer and closer to the reality of mass-market narcotics production. Busting a dealer on the street is an easy get, it's like a parking ticket -- it's a cash grab, it makes it seem like at least something is getting done.
The reality is that a massive international cabal or cartel of drug production, trafficking, and distribution is where the real consistent amount of money would be, and it's really the heart of the problem with the illegal industry of narcotics.
Just because it's illegal, that doesn't mean it's not an industry, that just means a it's more dangerous to be a part of it.
This is the narrative that Walt travels along as he becomes Heisenberg and ultimate seeks his own cartel-like Gus Fring status. And he believes he's even greater because he's not just the business man, he's not just the boss man, but he's the creative genius as well. He believes he's capable of everything and anything, and in many ways he is.
So along this narrative, Lydia (with her anxiety) plays the role of the pencil-pusher, the corporate "stooge" who's concerned about the "bottom line" and making sure they end the fiscal quarter "in the black". Her nervousness isn't about an unwillingness to commit crimes or to act on immoral impulses or decisions (like the other answers show, she does that unhesitantly and often pre-planned). It's a nervousness of doing good business and not getting caught.
She's the drug kingpin version of Gary Cole from "Office Space". Instead of TPS reports, she worries about DEA reports.
It's not that she's working with Gus Fring for any special or accidental reason, she's working with him because he's the best. He was a pillar of the community and he was the only true competition to the cartel. He treated it like a business, just as she does. It's not that her nervousness and anxieties don't fit for the character or her choices, it's that because of her situation, because of her choices, she is rationally and rightfully nervous. She's making tons of money, but in a monumentally risky way. Life ending (or worse) risks.
And in the narrative context of the television show as art/literature as a well as entertainment, she's a bit of a natural progression to the American industrialization of everything good, bad, and in-between. So in that way she's also a bit of a satire. Instead of the "Wolf of Wall Street"-style unchecked confidence, she's committing massive crimes that she doesn't know if she can get away with them. And we're introduced to her most prevalently after Gus is blown in half and everything has happened with the cartel, which she undoubtedly knew all about.
There's every reason to be nervous.
I don't think Lydia was risk-averse. Yes, she was very paranoid and high strung, but she wasn't above taking risks. She just made sure that the risks she took were calculated.
We see this trait in action after Gus is killed and eleven of his men are arrested. Naturally, she's afraid these eleven will eventually implicate her. So she asks Mike to assassinate the eleven to keep her safe. An idea that Mike refuses to comply with. But she had already taken this possibility into account, and had contracted another assassin to kill not only the eleven, but Mike as well. Both her plans ultimately failed, but it shows us how Lydia isn't afraid of taking risks as long as she hedges her bets accordingly.
Money-wise, I'm fairly certain that whatever money she pulled from being an executive in Madrigal (and not a highly ranking one it would seem) pales next to what she pulled from being a European drugs distributor.
Well, you are talking of a very idealistic situation.
"she should have a comfortable and legal income already", so why do bad things to make more money ?
Well, then the same thing can be said about Gus too, he has a restaurant chain which gives him enough white money. Walt too makes way beyond his initial target, but keeps trying for more. Let's just say for these folks the figure is never enough. So we can rule out the monetary needs of Lydia.
Secondly, talking about Lydia's daughter, may be she is the reason why she is taking these enormous risks, because she wants to make enough money for her daughter. Walt also suffers with similar syndrome. They want to secure the future of their kids. Same is true for Mike who was saving for her grand daughter.
Lydia might act nervous most of the time, but she is indeed evil. I remember a scene where Mike decides to kill her and Walt protests, to which Mike says Trust me Walt, this woman is better dead
So in my opinion Lydia was an evil, money hungry lady and that is why she was associated with Gus. And she just acts nervous all the time but she is definitely not risk-averse.
