One of the two main pedestrian routes to and from the Festspiele complex is via the footbridge over the railway station. After "Tosca" in 2007 I waited after the show to see one of the singers, who offered to walk with me back to my hotel. As we were walking over the bridge, a couple of lads in hoodies jumped out and demanded cigarettes. If I'd been in my own I'd have been terrified, but the presence of a baritone with a commanding physical presence, and a voice to match, made them back off. So, ladies, beware that route at night - take the better-lit, better-populated road bridge.
I can honestly tell you that I have never felt danger in Bregenz. For God's sake, have some common sense, but other than that it is a very safe place. Don't wander alone at the lake late at night, and the area around the train station is a little sketchy, but other than that you should be fine. My roommate and I walked home alone through dark alleyways after nights at the bar wayyyy too often. Nothing ever happened.