Waves are awesome there, just don't go in the summer. Also gets pretty big in the early winter. I went in the spring and it was just right. Lisbon is a great jumping off point. You can rely on public transportation if you stay in Cascais, but if you want to explore some of the better spots you'll need some wheels. I stayed in Ericeira for about 5 days and did 2 day trips to Peniche. There were better reef breaks near Peniche but lots more crowds. More mellow beach breaks near Ericeira and some you may find to yourself. There are some reef breaks as well. Also, if you do go north check out Sintra, very cool little town.

As far as pickpockets they are all over Europe. You only get the ghetto vibe while you're in Lisbon. Use common sense and once you get out into the country you're fine. Cars are expensive to rent and so is gas, so definitely travel with a bud or two to save some cash. Also, very easy to rent boards but might want to bring your 3/2.