LED has the least danger of any light bulb created by humanity so far. But we maybe can do better one day.
The Candle. Really, this was the first light bulb, wasn't it? And even today, it's still risky. How many fires were started by candles? How many medieval tapestries were turned to non-historical ashes and blown into nothingness? SO MANY. Never trust a candle.
The Neon Light. Oh, it's pretty, certainly. But what do you do with it when you need to move it about? Neon signs are huge and hard to transport! And God forbid you have to replace one of them.
The Lighthouse Bulb. First you've got to be able to lift one. Then you've got to be able to carry it up a billion stairs. Then you've got to be able to hook it up juuuust so. Because if you install it while the switch is on? Hoo boy. Those eyes are gonna hurt for months.
The LED Bulb. Hey, it's small. It's not full of some bizarre gas. It gives good light. And it's pretty much the same material as the other LED stuff you spend all day staring at. Your TV, your computer, your phone, most of them are LED, right? So what's one more LED thing gonna hurt?
Maybe in the future we'll come up with some crystal holograph that opens a portal to the light dimension. But for now? For now LED is as good as it can get.