The biggest risk from compressed gas cylinders is if the stem gets knocked off - as in this demonstration from Mythbusters:
Do not transport cylinders without securing them in some fashion so they can't roll about. Cylinders should be stored in a secured place where they won't accidentally get tipped over, risking shearing off the cylinder stem.
The stem should have a high pressure release valve built into it - which should vent gas if high temperatures result in excessive pressures, preventing explosion of the tank itself.
As an anesthesiologist, I work with compressed gases (oxygen) on a regular basis, and cylinder safety is important...