DHEA has two chances to aromatize to estrogen, and consequently larger doses of DHEA can be rather estrogenic.
DHEA is used in its ethyl ester form as testosterone prohormone, but it is rather dirty. 1-DHEA is another variant, which converts into 1-testosterone (after converting first to 1-androstenedione), a compound which is somewhat more anabolic than normal testosterone.
I think conversions are more favorable with the DHEA topical creams, in that less is converted to estrogen. Still, doses exceeding ~100 or so milligrams (less with the topicals or ethyl esters I suppose) of DHEA should be accompanied with an aromatase inhibitor.
Pregnenolone converts to test at a miserable rate, could easily convert to progesterone (this will make you feel like shit and act like a bitch), and is a whopping 4 steps away from testosterone (preg --> 17a-hydroxypreg-->DHEA-->androstenedione/diol--->testosterone). It's far more of a neuroactive steroid than an anabolic or androgenic steroid.
DHEA is somewhat safe, but it is not especially worth taking, and will shut you down in large enough doses. Epistane is a decent OTC steroid, but this too will fuck you up if you don't know what you are doing...