Being Safe While Out In Public - Some Ways To Let People Know If You're In Trouble
And yes, you should always tell someone else where you're going, and when you're due back. But sometimes plans change, or you might not have someone you can easily tell.
Luckily, if you have a cell phone (even if it's not a smartphone), there are ways to help keep you safe and alert folks in case of an emergency.
Kitestring is a web service that relies on text (SMS) messages. Which means that even my friend with his cheap burner phone will be able to use it. The service checks up on you with a text message, and if you don't respond, will alert your emergency contacts.
When you start looking for smartphone apps, there's a number of them with a variety of options and drawbacks, as well as free and subscription based services. Techlicious has a good roundup (from earlier this year) at http://www.techlicious.com/tip/free-personal-safety-apps/
If you have Tasker (Android only, sorry) I wrote a task that will send a SMS to any number of contacts in a text file with your location and a request for help. It does not require root access. Aside from being free (once you buy Tasker), it has the additional benefit of being able to be tied to any condition, task, shortcut that you like with a little bit of tweaking.
And if you have the $99 and can wait until 2017, you can preorder Athena now from RoarForGood. Press a button, and there's a loud alarm. Press it a different way, and it'll contact your emergency contacts.