I have been travelling extensively around Europe and Italy, mostly at night time since it is cheaper. Paolo already pointed about couchettes, but I can add something for normal seat compartments. That is how I usually go, being the cheapest way.

In a compartment there are 6 seats, that can be put down making like a big bed. Being up to 3 people you can sleep very nicely! With more people in it.... depends by the people. Last time I came back from Florence we were 8 but slept fine anyways!!!

I have never seen anything concerning thiefs, nor I heard of people being robbed. Of course it can always happen, so I would just suggest you to keep your safe (money, credit card, etc) on you and not in a bag, better if you have a belt. Nobody's gonna open your bags, unless you show around a nice camera or so.

Ciao Flavio in Rome