Actually, I think it sort of depends on where in Jersey you’re coming from, and what public transportation is available to you conveniently.
For instance, if you’re coming from Hoboken or Newark, you can take a PATH train to Penn Station, then hook up to the 1,2,3,9 trains and head “Uptown and the Bronx” on the 1,9, getting off at 72nd St.
If you’re coming from Central Jersey, you should take NJ Transit to Penn Station, then transit to the 1,9 subway and go “Uptown and the Bronx” getting off at 72nd St.
However, if you’re coming from northern New Jersey, you might consider driving.  Take the George Washington Bridge to Route 9A (West Side Highway) south.  Get off the highway at 79th St. or 72nd St.  Drive East to West End Avenue.  Park along any of the sidestreets here (70th-77th between WEA and Riverside), and walk two avenue blocks to the theater.
The area around 72nd St. and B’way is really really safe.  Penn Station is also very safe, and the subway between 72nd and Penn Station is much safer than driving.  This is a question of convenience, not safety.
All these options are better than taking a bus, but you can also take a bus to the Port Authority, transfer to the 1,9 with a 1-block (underground) walk, and then take the 1,9 uptown.  One note of caution:  the neighborhood around the Port Authority is one of the last seedy neighborhoods in Manhattan; I don’t think it’s dangerous, but if you go this route, you may want to use the underground transfer, rather than going outside.  Any one at the Bus Terminal should be able to show you the way.
Cheers from the greatest city in the world!
- Bjorn240
89th/WEA “Home of the Stroller Mafia”