I traveled to The Peg a couple weeks back and it was a very good experience. I'm from northern Minnesota, and it was about a three hour drive. I think now that I've been there I will go more often since its a very cool city and fairly close to home.
I stayed at the Inn at the Forks, which was a very nice hotel (a little pricey, and it didn't have a pool). The forks area is awesome, with the market, Johnston Terminal and the cool walking paths along the rivers. We spent time around the downtown area, taking in the shops and interesting people (I don't mean that in a bad way). The exchange district is also a real cool area, I enjoyed walking around there especially. We also went to the Manitoba Museum & Planetarium. We took in a couple shows there, the first was Galileo Live! and the the other was called The Manitoba Sky. They were both definitely catered to younger kids, but I still enjoyed them. Finally we toured the Manitoba Legislative Building, and that was fantastic. It was a very interesting building with many stories about how it was built and the history around it.
I didn't have any trouble with crime in the city, but I was also cautious. However, I think that's necessary in any large city. I would recommend traveling to Winnipeg to anyone, it really is a neat city. I plan on going back in the near future, and hopefully I can take in a Goldeneyes, Bombers, or Moose game!