I have more metal halide bulbs in my collection than HPS & MV combined and I want to be able to light them up but I'm very paranoid about doing it due to the risk of exploding bulbs and potential mislamps resulting from all the confusing markings and different types of MH bulbs.
Does anyone have tips on how I can overcome my fear of exploding bulbs and what I can do to make things safer?
eg. How to tell if a bulb is near eol and has a higher risk of exploding

The main way is using it only in fixtures properly designed to contain such explosion. Second is inspecting the ballasts and don't run those that are suspicious on any way. Failing ballasts are one of the main causes of HID explosions.
Otherwise it is virtually impossible to predict. Yes, the probability gradually increases as the lamp wears out, but that doesnot tell when any individual specimen will actually go off. On top of that are unexpected ballast random failures causing that explosion.

As I've said before, re-lamp well before EOL. If a lamp is going to explode, it's very unlikely to do it until it gets to EOL. Change them out well before then and you'll be fine 

Change the lamp when you see that the arctube is very blackened.
Also: Don't use the lamp if its arctube is swelled.
I'm also fear of lamp exploding, since my tracklight have a thin front glass that will break in the case of lamp explosion.
I always run my 70W R7s lamps in my tracklight with the exhaust tip uppermost (This often requires me to point the tracklight to some location such forward in case of most of my 70W R7s lamps), to ensure as uniform temperature in the arctube as possible and to prevent hot spots formation.
In your case: Universal burning lamps should be run vertical base-up, to ensure uniform temperature in the arctube, and to prevent bow upward of the arc, while also prevent condensation of halides in the area of the starting electrode in case of probe-start MH lamps. I can't do this, since R7s double ended lamps are rated for horizontal position only.

Another thing to consider when buying new lamps is to opt for the protected or open rated version where available. Those have a extra shield between the arc tube and the outer bulb which should help to contain arc tube explosions.

They're sometimes a bit more expensive or harder to find than their unprotected versions but it might be worth looking into for the peace of mind.

Well, being of a philosophical bent (ooer, that sounds posh, don't it, wonder if I could make some money out of it..? ), I just reckon that the chances of (a) a lamp exploding and (b) you being close enough to it to get hurt as a result, are so low as not to be worth worrying about, given all the rest of the crappy things going on in the world. But that's me.

Yeah agreed. The risk is pretty low when you follow the best practices outlined in this thread and for those freak occurances, you can also use a protected lamp for added peace of mind. Although I'm not sure if protected lamps are as common as they are in North America. They're fairly common here since most newer MH fixtures with open lamps have lampholders that only accept protected lamps.

I've got quite a few of both types, without checking them all I can't say for certain which is most common, but probably the non-protected type. I'll have to check now