As far as classical music is concerned, the scene is pretty mediocre. Unfortunately there are fewer and fewer venues for live music. However, there is an active local music scene here. Compared to any large city, I think Madison is very safe. Compared to any small country town, it's probably got more crime.
Residents say and feel that it is safe.
Walking at night alone seems safe in most areas. Women jog alone, people have picnics, etc. And the university offers a lot of safety services. For instance there are saferide and safewalk services offered all the time for those who do not feel it's safe to walk alone at night. Gyms, ice skating, sailing, anything you want to get into.