Some web hotels and hosting providers will let you run PHP code in safemode only, meaning you cannot run commands like system and so on. But many do let you run unrestricted CGI programs, which pretty much lets you circumvent the protection and annoyances of safemode.
Simply executing PHP from withing a CGI wrapper will let you get around the safemode completely. Create a file called nosafemode.cgi and put the following inside:
#!/usr/local/bin/php
<?
echo "Content-type: text/plain\n\n";
system("echo 'Running PHP outside of safemode!'");
?>
Result: No more safemode.
Why is safemode still considered good? Because if you download some huge PHP code made by others and put it on your website, it's good to know that the safemode will give at least some protection against holes in that code itself. That is the case with many popular PHP projectst (image galleries, forums, etc, many of them having had huge security holes in the past).
Also note that you still can't do everything you want this way. For instance, the header()-function won't work, and stuff like that.
Remember also that safe mode is completely in the PHP6. As noted here, the PHP safemode doesn't really give much security, quote The reason is that apparently they felt it gave the 'wrong signal', implying that it made PHP secure, when infact it didn't at all..