As a non-New Yorker who has been to the city about 5 times a year over the past 5 or 6 years, here's what I can offer:
Drive to New Jersey and take the train in. Madison Square Garden is literally on top of Penn Station (where your train would go). It'd be basically just a walk up a few flights of stairs and you'd be there. Very, very little confusion to worry about in the city. The train schedule can be a tad confusing though, so be sure to study that ahead of time. Normally I always drive into NYC but since MSG is right on top of Penn Station, the train is the best option.
The subway runs all night but it has a restricted schedule. It's kinda complicated, and I've only ever been on the subway in NYC twice I think.
Basically, I think your best bet is drive into Jersey, get a hotel there - take the train in and out, stay at that hotel that night. Should be your best, safest, least confusing option I think.
I've never had any problems with safety in the city. Never lost anything, never had anything stolen, never been too harassed. Manhattan is so full of tourists that you don't have too much to worry about. Just keep your wallet close to you - and keep about a dollar in loose change in your pocket so if you get harassed by bums you can throw em a quarter and they'll be on their way.