The only thing wrong with Alwun House is that there needs to be a half-dozen or so more like it along Roosevelt before Phoenix can really be said to have a "thriving arts scene".
I've been to several shows and events here, and last night made my second year at the annual Halloween Monster's Ball. I tell ya: If you want to party on Halloween you need to hang with some artsy people--you know, the ones who really know how to work with make-up and foam rubber and found objects. After consorting a bit with the devil himself, I made friends with a couple of dead girls and Abraham Lincoln. Cruella DeVille had finally caught those yapping puppies and had made a nice stole for herself out of their heads, and Gumby looked on aghast.
Anyway, it's a funky arts scene, and the gallery is usually stocked with interesting stuff. At events such as the one last night you can usually talk to the artists themselves. Very casual.
As far as the neighborhood is concerned--yeah, you want to lock your car and take the usual precautions. This isn't Chandler Fashion Center, thank God. The management is good about providing security at their events, so the only potential problem is walking to or from your car if you need to park a few blocks away. Just be aware of things around you (like you normally are, right?).