Day to day, especially for families, it is massively safer than USA and indeed Europe. The roads are a bit wild - buy a car with good safety stats. However, the main problem is that you will be living in a police state, and that can get very scary. Most people do not give enough thought to this side of it, and often do not even know. See this website for details:
http://www.ericellis.com/khaliji.htm