I have taken a couple of self-defense courses. Check around, some community colleges and community centers have free courses. I think one of the ones I took was through the American Red Cross. They do help give tips on how to be more aware of your surroundings and give suggestions as to what to do if someone approaches you, threatens you, or even touches you inappropriately. I still want to take one of those "hugger-mugger" courses (there's one in the Bay Area called BAMM - Bay Area Model Mugging). The Learning Annex (is that available nationwide?) offers some good courses.
Living in the big City, I'm probably more aware (street wise?) anyway, I always walk with my keys in my hand, always look like I know where I am and where I'm going, keep a fully-charged cell phone with me, etc.
P.S. I agree with QofP, taking the course is an exhilarating experience and does give you more confidence knowing that you do have a plan should anything happen.
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