Me:

Leatherman Wave or one of many kinds of SAK's.
LED Flashlight on Keyring
Fox-40 Whistle on Keyring
A red bandanna
A Lighter
AT&T Never-Expiring Calling Card (60 Minutes)
Some cash (usually about $120)

I'm never that far from an ammo pouch with:
4 Emergency drinking water pouches (24 oz Total)
Space Blanket
Mag-Fire Fire Starter
Rain Poncho (bright orange)
Micro-Trauma Kit (Just Gloves, Gauze, Medic Shears)
Window Punch (Ring-Style, same as we use for auto extrications)

Given that the recent steam explosion in NYC happened literally right as I was walking in the area, the thing I learned that is most important is the ability to RUN either TO or AWAY from the emergency.

The rest, you can improvise.