incall (you go to the girl)
PROS : if in your home city you don't need to get a room or have girl come to your residence. Convenient - you show up, do business, and you're out.
CONS: most busts are incall setups so avoid incalls at lower-end hotels and motels, private residences. stick to well-reviewed girls preferably traveling agency gals or indys with good review history that are visiting a higher-end hotel.
outcall (girls comes to you)
PROS: very unlikely to be a bust/LE. If you are traveling and at a hotel then convenient for you.
CONS : if the girls that shows up at your door isn't as advertised you potentially have a dicey situation if you want to cancel - she may make a scene or alternatively the agency or her booker know your room # and may just send another girl with expectation you will continue with the appointment.
Having a girl come to your personal residence is in general a very poor idea. Even if you know her from prior meetings and establish a rapport all relationships can go south. If you're married you don't need neighbors (they all watch) taking notice or you wife findings stray hairs around.
My take on things - in-call is the way to go if you are in your home town/city : go to the girl but do your homework. If you are nervous then get a room via priceline/P411 and have girl come to you.
If you're traveling outcall makes the most sense to me.
In terms of safety - you are more likely to get in trouble with a vindictive girl/wife or pimp than law enforcement so remember to consider those angles in addition to worries about Johnny Law.
Going to a sketchy incall location places you at significant risk of getting robbed. Most robs never get reported and the incidence is a lot higher than you may think