Antibiotics are an obvious one. Antibiotic resistance is a real, and growing, issue. If people start popping them every time they get a sniffle, that's going to get a lot worse.

Some medications have very serious side effects, and a doctor really should vet that you're healthy enough to withstand those.

Some medications can have very severe interactions. Part of the prescription process is that their computer is supposed to alert the pharmacist if some combination of the meds you're on creates an issue.

Honestly, those few categories knock out most of the useful medications. Mental health drugs are generally safe, but self-medication isn't usually effective in those scenarios.