Another scary practice is venting natural gas indoors. Most of the time it's fine, but sometimes you get a catastrophic explosion: https://www.youtube.com/watch?v=rjxBtwl8-Tc
(The US Chemical Safety Board has a bunch of interesting videos.)
Because when you initially pressurize a newly installed portion of pipe, it's not filled with natural gas, it's filled with air. Air doesn't burn, something like a natural gas burner with a pilot light is going to detect that the pilot light went out and shut off the gas flow to prevent an explosion. That leads to a sort of catch 22, you can't purge the line without the burner going and the burner won't turn on until the line is purged.
Ideally you would pressure test and purge new work with nitrogen as well in order to prevent a potentially combustible mixture from forming inside the pipe while the air is being purged from it.
As to the safety of purging natural gas directly indoors, obviously that carries some risk but it's not as dangerous as you might assume. Below a certain concentration (5% by volume) natural gas mixed with air actually won't burn freely. Also above 15% natural gas by volume won't burn freely. The risk of an explosion is only present in that 10% range. If you're putting in a new gas stove in your kitchen and you crack open the valve with the hose off of the stove until you smell gas, that's not a ton of natural gas that you've let out into a room with a relatively huge volume. The pressure of a natural gas pipe in a house is actually very low, only around 0.25 psi. It's coming out slow enough that you've got plenty of time to turn off the gas before you come anywhere close to hitting that lower explosion limit where things get extremely dangerous.
