Nah, natural gas doesn't make any difference to your insurance, and it is generally MUCH cheaper to operate and very efficient for most uses. Propane is a bit more expensive and requires more safety precautions, so be sure of your source.
I grew up in the hurricane zone, where no one in his right mind buys an all-electric home -- with gas, you can still cook and have heat and hot water even if the power goes out (though your electric ignition wouldn't work in those circumstances, and you would have to light the burners by hand.)
Can you blow up the house with it? Yes, you theoretically could, but the odds are strongly against it you are sober and have the gas company do the usual safety inspections. (In most places they will do safely inspections for free before you move into a house, to be sure that your hookups are safe. The gas company doesn't want an explosion any more than you do.)
Let me put it this way. Any time that a house is leveled by a gas explosion it always makes the news, because it is VERY rare. They don't bother to do that for electrical-source house fires, because they are much more common.