Unless you are going to be regularly taking the subway at 2 am, I wouldn't worry too much. If you are going at odd hours, then don't go alone. If you have to go alone, then just act casual but stay alert and if it looks like you are getting marked then just keep your cool and think it through.

If I were going anywhere hot, I would be looking for seasoned South African vets. Reed Security group had a sterling rep in Iraq. They'd be my goto agency if I ever needed to worry about that sort of thing again.