When launching from the east cost, I imagine all lower stages just crash/land in the ocean. However when launching the same direction from VAFB, the ocean is in the other direction. Do lower stages just crash into the ground, and if so, what's the risk?
Vandenberg Air Force Base is used for retrograde and polar or near-polar (e.g. Sun-synchronous is slightly retrograde, near-polar) target orbits. That puts ground track of launched vehicles over the Pacific ocean. For example, polar orbits are launched due South from VAFB and first stage would fall into the ocean somewhere between Hawaii and West Coast US:
On the image above, MECO (Main Engine Cut-Off) is closely followed by booster separation, at which point booster begins its ballistic fall into the ocean, in this case, more or less along the same ground track than the upper stage that continues ascending and accelerating towards its final speed at SECO (Second Stage Engine Cut-Off).
For more information, see also:
The question of course meant discarded stages landing, since so far all first stages have been discarded.
Of course with the coming of SpaceX launches from Vandenberg Air Force Base's SLC-4E launch complex, they intend to land their first stages at SLC-4W. That would be an exception of where a lower stage may land, different than all other boosters launching out of VAFB.