It's safe to do, never heard of anyone bricking a phone by changing their rom, now when you get into changing radios and those things is when your getting into more dangerous territory that CAN brick the phone but it doesn't happen much, you used to hear about people loosing their WiMax keys a lot but people have been smarter and realized that they needed to do a nandroid first before anything and that way if you loose those keys then you had a copy of them.
Depends on what you want to do with your phone, some of the biggest differences is that you can use Hotspot/wireless tether with custom roms, they can be themed, can install more software, take out the sprint bloatware. These links below describe it and the process and the bottom link is a thread that has a giant list of roms and links to them so you can actually go to the thread where the rom is and read about what it has in it, if it has any issues and what fixes there are, really a rom is personal choice so I would suggest you check them out and see what you like and then flash that rom.
http://forum.ppcgeeks.com/htc-evo-4g...roms-wipe.html
http://forum.ppcgeeks.com/cdma-htc-e...-2-1-roms.html