Radon is an alpha emitter which gets into your lungs, so that comparison to an arm x-ray isn't entirely fair. Otherwise I agree, it shouldn't be a concern unless you live in the first floor on granite.
It's right they don't penetrate. However, the lungs is one place they don't need to penetrate, they get direct access to some very valuable (to us) cells in our bodies, which are especially vulnerable to cancer, and do grave damage to them. From 10 to 1000 times more damage than equivalent energy gamma or beta radiation, according to Wikipedia. Radon as a health problem isn't some crank thing.
