The main thing you'd lose by removing the factory radio is the vehicle warning chimes. This includes the seat belt reminder chime, which might be considered a safety feature. However, it won't affect the air bags.
If you want to keep your warning chimes working, you can purchase this adapter: http://www.scosche.com/products/sfID1/151/sfID2/159/sfID3/262/productID/1637
If you don't care so much about the warning chimes, you can purchase this harness: http://www.scosche.com/products/productID/290
The factory radio is controlled through the vehicle data bus, so there's no accessory power connection in the factory plug. If you don't use the chime adapter, you'll need to find an alternate source for accessory power. In these cars, I usually end up running a wire to the Retained Accessory Power relay, located in the large fuse/relay box under the rear seat.
The adapter module makes installation wiring much easier, but this is still a fairly difficult car for after-market head unit installations. If you're a novice, I'd suggest finding a professional for this job.
