You'll get better penetration into the canopy with the 250w HID than you would with CFLs, but you're right, you'll also get a bit more heat.

You can't, however, just switch HPS bulbs out for MH bulbs unless the manufacturer specifically states that the ballast can accept both types of bulbs. If it isn't a switchable system, you'll need to buy a conversion bulb for the specific system you purchased. If you purchased a 250w HPS, then you'll want to find a 250w MH conversion bulb for it if you want to have halide light.

You don't have to worry about fire from the grow space heating up too much. Worst case scenario there, you'll fry your plants, but it won't heat up enough to ignite anything in the area. Make sure you ventilate the area well, and the 250 shouldn't get too hot. You'll want to make sure that the ballast, and all other electrical components are off the floor, and out of the way of rogue water that might get spilled. Ignoring that, on the other hand, can cause a fire, or can shock the living shit out of you when you least expect it. Basic safety guidelines are common sense, so just follow them and you'll have very little to concern yourself with.

*Edit* I know absolutely nothing about LEDs, but I'm very intrigued by them as well.