We study the optimal trade-off between expectation and tail risk for regret distribution in the stochastic multi-armed bandit model. We fully characterize the interplay among three desired properties for policy design: worst-case optimality, instance-dependent consistency, and light-tailed risk. New policies are proposed to characterize the optimal regret tail probability for any regret threshold. In particular, we discover an intrinsic gap of the optimal tail rate depending on whether the time horizon $T$ is known a priori or not. Interestingly, when it comes to the purely worst-case scenario, this gap disappears. Our results reveal insights on how to design policies that balance between efficiency and safety, and highlight extra insights on policy robustness with regard to policy hyper-parameters and model mis-specification. We also conduct a simulation study to validate our theoretical insights and provide practical amendment to our policies. Finally, we discuss extensions of our results to (i) general sub-exponential environments and (ii) general stochastic linear bandits. Furthermore, we find that a special case of our policy design surprisingly coincides with what was adopted in AlphaGo Monte Carlo Tree Search. Our theory provides high-level insights to why their engineered solution is successful and should be advocated in complex decision-making environments.