One of my issues with exploring in the wild is death from falls. I had a fall in the wild, and my stuff fell into a cave that was inaccessible, because I couldn't break or place blocks. I lost a really nice enchanted bow. I eventually got another one, but the frustration of seeing my items despawn when they were a couple blocks above my head was intense. That said, the danger of exploring does make me more excited about playing in the wild, but also less interested in striking out far from the spawn to see some of the biomes on the map. I realize now that I could have claimed the unclaimed chunk, placed/broken blocks, then unclaimed it, but I only had a couple minutes before my stuff despawned and I didn't think of that quickly enough.  Didn't v5 have a thing where falling into lava or dying from a fall didn't result in loss of your stuff? That kind of change would make me a lot more likely to roam the wild. An earlier commenter was stating that mobs are easy to avoid in the wild, and they are, especially if you have a horse, but there are a lot of dangerous ravines and pits that are hard to see over the "chunk loading" horizon before you're on top of them.
P.S. there is an awesome looking high plateau biome with waterfalls coming off of them that I'd love to explore (that's where I died), but it's really hard to scale cliffs without placing/breaking blocks, so I couldn't make it to the top. Any ideas on how to do that?