There's no such thing as safe safe. While unlikely, even media/data files could contain exploits. They'd need to target specific issues in specific software, but that happens all the time.
WinRAR had a recent high publicity mistake earlier, where a "specially crafted" archive can make executables seem like other files so it's easy to accidentally run them. Big no.
I also recently saw an (old) exploit analysis: some Linux thing got wrecked specifically because of vulnerabilities in a media player/codec - in fact opening the folder was enough to trigger the exploit, which could give someone unrestricted access to your system. Very, very big no.
Back in the day, I think Windows Media Player had some idiotic license download thing that was also used as an attack vector.
Basically: executables are just a slam dunk malware delivery vector. Media files are safer in general but not safe.