You are not required to sacrifice your comfort and safety for your roommate. In the worst case, you have options to change roommates, although you may be the one required to move to a new room.
Residence halls, or dormitories, have a procedure for assigning rooms and roommates, and procedures for changing those assignments. Find out early what those procedures are, including what constitutes a valid reason to change rooms. You should understand that convenience or personal preferences may not be enough to reassign you to a new room, but safety is always a valid reason.
Has your roommate said or done anything that you find threatening? This could be as mild as a comment telling you to stay out of his or her closet, depending on the way it is said or the suspicion that they have something illegal in there. It could also be a physical threat, as blocking you from leaving or entering, throwing an object against the wall, or actually hitting you.
At your first moment of worry for your safety, talk to your resident advisor or hall supervisor (there are many names for this position, but like in most things, start at the lowest possible level, including discussing the issue with your roommate if you are able without placing yourself in any danger). Even if you decide to take no action, talking about the situation will help establish a pattern of behavior if you need to report a safety issue to authorities at a later time.
Student Success Strategy #29: Roommates! Your safety comes first. Take action immediately if necessary.