Particularly during the off-season, this is a laid-back community where most of the locals know one another, and as such is a very safe place to visit or live. Take more care during the tourist season, when the area is inundated with visitors; it's still hardly a haven of crime, but it doesn't hurt to be circumspect. The police patrol regularly, to discourage any potential troublemakers.
During late summer, do keep an eye on the weather reports; North Carolina isn't called "the landing strip of the Atlantic" for nothing, and the Crystal Coast is an appealing target for hurricanes. However, it's worth noting that this area isn't hit as often as areas further north or south; Beaufort, for example, still has dozens of intact buildings dating from the 1700s.
A relatively more minor annoyance, although a rapidly-growing one, is fire ants. This invasive insect species builds large mounds which, if disturbed, disgorge lots and lots of red ants that bite and sting very painfully. You're more likely to run into them inland, but they're a very good reason not to go walking around barefoot on the grass although of course the beach and adjacent areas are perfectly safe.
As with any outdoor activity, be sure to wear plenty of sunscreen and a hat if you're going to be spending a lot of time outdoors. Even on an overcast day, the sun can be strong enough to burn your skin if you aren't careful.