I take the MAX part of the way home every day, but I never feel nervous about it (unless there are hobos trying to talk to me, but that only happens rarely). I guess it's because I take one through the middle of downtown in the afternoon, so there usually aren't many suspicious characters about.
I'm usually more anxious on buses (I have to take a MAX from my school to a bus stop, and then a bus home, so I ride them regularly too). I've actually seen gang-fights break out on buses, with people punch the living daylights out of each other. The driver couldn't really do anything to stop it besides stop the bus, order everyone else off, and shout at them to stop. Scary stuff. :/