I've done the 138th St Madison Ave Bridge and the 145th Street Bridge without incident. Both bridges are fairly short and there were other people making the crossing. Traffic in the South Bronx can get crazy.. especially after dark or when NYPD is in hot pursuit, which I imagine happens on a regular basis. The West Side Greenway up to the Henry Hudson Bridge over to Riverdale seems like a safer route but I'm not sure I'd want to do it after dark, especially without good high powered lights. A good portion of the route, Cherry Walk and north of 155th Street, or so is unlit at night, and the unmaintained path up to the HH Bridge in Inwood Park is steep and also unlit.

As andychrist suggested, the Broadway Bridge is probably the best if you're riding alone. There's a "BikeTrain" that currently leaves from midtown around 5:15 PM, two days a week, and goes up the West Side Greenway to Seaman Ave & 215th St. You can search them out on twitter or email nycbiketrain[at]gmail.com