i lived in Chicago for 12 years (by which i mean the city proper,not the burbs) and I was never mugged, attacked, or otherwise put into a bad situation. I don't recall doing anything specific besides just "blending in" and looking like I belong wherever I was. I often had to walk from work to the EL at late hours (1, 2am) in some not so great areas. I guess I just made sure to not tune the city out as I walked; no iPod, no cell phone calls....just walked with a purpose, didn't screw around, didn't draw attention to myself, and was always aware of my surroundings.
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