Would it still protect you from bad things occuring. I have always wondered how secure they are

I would prefer to go to an another country for my seedbox.
It may avoid any problems with your country anti-piracy patrols

Would agree with lukedvp, currently mines in the Netherlands through Ultraseedbox.

Either way I say its somewhat safer then just torrenting directly from home but a box outside the country is a better bet. Still nothings a guarantee either way.

Local law enforcement and entertainment industry protectors is what needs to be focused on. You don't want to make their work to find you easy so you should go with a seedbox in a different country.
And keep in mind their might be law cooperation between the chosen countries...

I prefer go to another country.
In France we have Hadopi, and I think its difficult to them to make a link between countries