According to the software's developer in this document:
Lion is recommended. VMWare Fusion is a mature and well-respected product. If you need Windows, go for it.
Lucky for you, Ars Technica just published an extremely detailed review of how VMware runs in Lion, in a comparison to Parallels Desktop. Ars Technica does some of the best reviews around.
If your question is regarding the safety of running Windows on your system via Fusion, this is not an issue. When you run Windows via virtualization (Fusion, Parallels, VirtualBox), it does not have the ability to install any sort of malware or virus in OS X. Keep in mind, Windows itself is still suspetible to all the nasty stuff that it is normally suseptible to. You should install your preferred Windows antivirus/malware utilities. Again, any virus or malware that you may get in Windows, will not infect OS X, it will remain isolated to Windows.
If your question is regarding the safety of running Windows on your system via Fusion, this is not an issue. When you run Windows via virtualization (Fusion, Parallels, VirtualBox), it does not have the ability to install any sort of malware or virus in OS X.
That's not the main threat with virtualizers. Many VMs allow you to designate folders on your Mac that are shared so that both Mac and Windows apps can open the same folder of docs. This is very useful in passing documents between Mac and Windows. But if your Windows virtual machine gets one of those viruses that likes to wipe out folders, it could potentially corrupt or wipe out the files in folders shared with the Mac side. For example you would never want to give a Windows virtual machine access to your Mac user library or system files. If you must share a Mac folder with Windows, try to keep the scope of it limited and contained. While the Windows malware would not be able to run on Mac OS X, it would not be necessary for it to, if a poorly configured virtual machine allows it to write over folders shared with the Mac and trash Mac files in the process.
The other possible threat to your Mac is that many virtualizers install kernel extensions. This is not malware, but that kind of software operates at such a low level that if it is buggy, it could destabilize your Mac system. It's a good idea to check both VM reviews and their support forums to make sure the VM you choose to use is known to be stable. Most are, but sometimes, with a major upgrade, the .0 version may have bugs that need a .1 update to fix them, just as it is with Mac OS X itself.