Wherever you go in the world you need to have a common sense approach to your safety, drop your guard completely and advertise the fact you have no idea where you are but have lots of money and you'll attract unsaviouries.
Bulgaria does have an issue with the gypsies and few people give them any respect, quite the opposite tbh. We were warned not to leave valuables on the beach as the beach sellers might steal. Thats true the world over and thats why its a good idea to make sure you don't take lots of valuables to the beach. We never had any issues where this was concerned.
Prostitutes apparently work at every hotel, its something Bulgaria is supposedly familiar with. I never noticed any of the sort but others holidaymakers informed us there were. If you're with family I doubt you'll notice, I didn't despite being the last back to the hotel. I'd suggest its there if you look for it but its neither obvious nor intimidating.
Mosquito - tbh I found at Sunny Beach there were very few of these. Its goverened by the amount of stagnant water nearby and, apart from a canal there's very little of this. Definitely no more a problem than other resorts.
Mafia - I think you can smell it here, I think Bulgaria, with a reputation as a corrupt place, will have this underlying anywhere that large amounts of money exist. Mafia is not solely linked to Italy, nor Italians. Whether that's agreeable or not to others the response is simple, you're not likely to see a live rendition of the Godfather.
Try to look on the good side, the bad elements that inhabit any area should be at the back of your mind but not dismissed.
Sunny Beach is a lively long and beautiful coast. Gorgeous sand, plenty of restaurants and bars, well priced and good quantity. Pork kebabs, suckling pig, chicken and some excellent local fish are in abundance, unfortunately I often found veg to go with it was similar to a garnish

The series of beach trains will take you the length of the Beach and allow you to explore various areas. You'll find plenty of tattoo parlours, hair braiding, water sports and very friendly people. It does get a little repetitive with its football shirt shops, dodgy CDs/DVDs, and certain restaurants but its an enjoyable place to spend a holiday.
Its worth mentioning that the whole resort is guarded by police who restrict entrance and therefore help to keep it a safer place.
I strongly suggest visiting Nessebar old town for an Italianesque cliff top restaurant over looking the sea as a perfect way to enjoy a fish supper and watch the sun go down, all at very reasonable prices. Bourgas is worth a visit, especially if you get a trip to Sozopol too, soak up the shops, grab a bit of street cafe and do a little people watching, ahhh I can taste that iced coffee now!
Have fun