I found this useful security tip on Microsoft.com.
SAFE is the recommended permission setting for assemblies that perform computation and data management tasks without accessing resources outside an instance of SQL Server.
We recommend using EXTERNAL_ACCESS for assemblies that access resources outside of an instance of SQL Server. EXTERNAL_ACCESS assemblies include the reliability and scalability protections of SAFE assemblies, but from a security perspective are similar to UNSAFE assemblies. This is because code in EXTERNAL_ACCESS assemblies runs by default under the SQL Server service account and accesses external resources under that account, unless the code explicitly impersonates the caller. Therefore, permission to create EXTERNAL_ACCESS assemblies should be granted only to logins that are trusted to run code under the SQL Server service account. For more information about impersonation, see CLR Integration Security.
Specifying UNSAFE enables the code in the assembly complete freedom to perform operations in the SQL Server process space that can potentially compromise the robustness of SQL Server. UNSAFE assemblies can also potentially subvert the security system of either SQL Server or the common language runtime. UNSAFE permissions should be granted only to highly trusted assemblies. Only members of the sysadmin fixed server role can create and alter UNSAFE assemblies.
I wondered which was “worse”, EXTERNAL_ACCESS or UNSAFE and now I know.. don’t use UNSAFE unless absolutely necessary.