As a daily rider I can assure you that Metra Electric is quite safe. Having conductors keeps a lid on any untoward behavior (for the most part). The worst I've seen is fare dodgers arguing with conductors (female conductors especially) and homeless taking up residence in the station warming shelters.
Pullman is immediately adjacent to the station, so once you are off the train, you are there. Roseland, to the west of the tracks (and to a lesser degree, North Pullman [north of the old plan]) aren't as nice.
The neighborhood is definitely "stage set" and, in fact, was the location for a movie set in East Germany. Make sure you check out the Market Building - one of the more unique urban spaces in Chicago (and possibly, the Midwest/country).