I have. I was on the transiberian railroad and popped out at Ulaanbaatar for a week. On the train in I saw what I think were wild horse scattering in the mist. I was on cloud nine. Got mugged 1 hour later. Just 20 bucks, but was that a buzzkill. Its actually quite easy to get in and out via train or plane, can't with car I think. Airport is Chengis Khan Airport, no shit. But there you can hire a driver and translator/guide and they know various nomadic families and you can go on any length of trip - 3 days to 1 month if you wanted. You stay in the yurts with them. It was a great experience. Froze my balls off. Never felt unsafe at all, even after the getting "the mugging"
I guess lots of comments on safety here. I've had varying levels of feeling safe in SE Asia, Central America, and South America. I would say maybe in South America I felt a little less safe in Ecuador (in big cities), and then in Central America in pars of Honduras and Nicaragua. I was held up at machete-point in Honduras once. But it wasn't that bad, just walked it off. Knifepoint in Spain once, and that was actually not good as the dude was on something.
The most unsafe I have ever felt was Russia in the cities (ST pete and Moscow). Bribes, unmarked cop cars, lots of fucking people openly carrying weapons, it was far and away to most unsafe I have ever felt. Not a problem now cuz ain't no one going there for a generation or two
If you are in Texas/US I highly recommend Central America if you are looking to expand into new travel. There are tourist/backpacker circuits that cater to all types of travel types, its close to you, and its wonderful. Speak a little Spanish, see beautiful nature, and the people are wonderful. Just mind your basics and its safe.
Or SE Asia. Very safe in Thailand, Laos, Cambodia and Vietnam.
For me there are a few must dos left: South Africa, Kamchatka Peninsula, and more parts of South America (Patagonia, Colombia, and parts of Brazil)