I will be traveling from Vienna to Budapest, I was looking at leaving on an evening train from Vienna and I would arrive in Budapest at about 10:30pm, however a friend mentioned that the area in which the train station is located isn't safe? Would it be better for me to leave Vienna the next morning and arrive in Budapest around 11am?
Its a grand old building with some pretty recent renovations in a perfectly safe neighborhood. East and South of the station it gets a little ratty looking, but still safe. I wouldn't hesitate to arrive at 10:30. How are you getting to your accommodations? If its by metro there is a brand new metro station on the lower level, if by taxi I like City Taxi: phone number is +36 1 211 1111. They answer in Hungarian and you say; "Good Evening" and they will switch to English. They are incredibly patient with tourists. Not sure I would try walking as its a pretty decent walk from anything.
Do leave Vienna in the evening. When you get checked in to your accommodations in Budapest head straight to the Danube River Embankment and drink it all in (visually and literally). Yes, the streets are safe in the evening as well.
I arrived at Keleti from Vienna by train and thanks to James' suggestions I knew exactly where to find the ATM to get some forints, and already had the number for City Taxi programmed and they do indeed speak perfect English, are very patient and seemed to know exactly where I was standing--"Look ahead, is there a Burger King? Then go to the right and you'll see taxi #123, that's for you", and I was taken swiftly to my hotel, no meandering or going in circles to pad the fare--I'd studied a map so I knew what was what. I used them again for my trip to the airport at 4 am, picked up in 5 minutes. I quickly felt very comfortable on my own in Budapest, hopefully you will, too.