I often use the Preview Attachment feature in Outlook 2007/2010 to quickly go through the attachments I receive.
Should I be worried about any macro code or other types of security threads when looking at my attachments this way?
That's actually determined by the application offering the previewer and is not directly up to Outlook.
Default Windows and Office previewers
The default previewers offered by the other Office applications and Windows do not include any macro, ActiveX and scripting support and thus are safe to use for a preview.
3rd party previewers
Which level of code execution is allowed by a 3rd party previewer, such as the PDF Previewer offered by Adobe, is basically determined by the provider of that previewer. In general, these previewers are designed to be secure by default and offer only a limited feature set so you should be fine.
In either case; never open attachments that you do not trust and always make sure that your virus scanner is up to date and the on-access scanner feature of your virus scanner is running properly.
In Outlook 2007 and Outlook 2010, you can preview many attachments
directly in Outlook itself.