I disagree with the Pepper Spray inclusion, particularly if you are traveling by air. I don't want to start a flame on airline security and our (U.S.) TSA, but I know first hand that pepper spray will (if noticed) be removed by TSA at checkin. And often ANY aerosol will be removed from checked luggage. I usually agree spot-on with Leigh, but not regarding the pepper spray idea. The LEOs I know and have asked would clearly agree: If they want to hastle you about pepper spray (and ALL of the airport LEOs I've worked with WILL) they don't care a bit about your embassy.

Here's what has worked for me (even in Holland, by the way): I have a "coin purse" (let's not start the gender thing... I'm a guy.... this is a unisex coin purse) which looks like a leather sock (stocking/athletic sock size). As soon as I can upon arrival, I start my "coin collection" and keep a good load of coins in the purse. Also works when I'm just collecting small rocks for my rock collection.
... You know.. once when approached by a street thug I got so frightened that when I tried to give him my money I must have whipped the purse out of my hip pocket like a mace.. and it must have hit him on the side of the head. Unfortunate accident.