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Apart from...
....buying a built house in an NPC town or repairing one is only different in terms of cost.
....having either of the above is MUCH safer early game as you won't be raided, although I've heard that buildings in the Hub can still be raided. Not so likely elsewhere as they are protected by faction guards etc.
....building your own house in the wilderness is VERY likely to have raids, which you need to be able to defend against, plus taxmen, prayer days etc etc depending on where you are.
Safety? Buy in a town, if you find one that you like with a faction you like. Be advised, don't buy all the buildings you can in every town you can, or else you will have a significant drop in available shops. (They spawn in randomly to a degree, but if you buy all the buildings, they have nowhere to spawn.)
Adventure and DO WHAT YOU WANT? (Once you're tough and have a good party) maybe consider the countryside or deep wilderness. So long as you're in faction land, you will have to abide by the laws and customs of whatever land you've settled in. (That means dealing with Prayer Day if you're in Holy Nation, or paying TERRIBLE taxes if you're in United Cities)
As well as security concerns, including bandit and wildlife raids.
If you're DEEP in the woods, expect cannabals and tougher bandits.
The one thing I will say is, DO NOT just start fighting everyone "For the lulz" It makes trade harder later on, and honestly, with quests and such unfinished, could screw you over on later content.