Okay this converstation needs to have a definitive answer on both the thermodynamic side and the saftey issue.
Thermodynamically, your assumption that mercury is a better heat conductor is wrong. If you look at the National Institute of Standards (NIST), you will see that the Cp,m (Specific Heat-Constant Pressure) value for Water at 298K (22C Room Temp) is 75.38
J/mol*K whereas the Cp,m value for Mercury is 28.3
J/mol*K. Mercury is much worse at standard temperature and pressure.
As for the saftey hazards, yes mercury is very dangerous and can be fatal, but the common example that people always bring up is that their parents played with it in their hands. Yes, this is true, because mercury's liquid form actually is not that dangerous. The mercury vaport released however is extremely toxic. Breathing in the vapors can cause serious and permanent health effects. The other big misconception about mercury is that its pure form is the most dangerous, whereas it's organic forms are more deadly. Dimethyl Mercury has been fatal from a single drop
onto a glove.
The Cp,m values do change (viscosities don't really matter much) over a large temperature range, but not enough to make mercury better than water at any point up to 6000K (range of the tables).