nothing.
even when in the ghetto (and i've been in some pretty bad areas), I've never felt worried enough to think about needing protection.
way I figure, if someone comes up to mug you, your more likely to get hurt if you pull a weapon than if you just hand over your wallet (this, of course, is why I always carry two wallets with me in the ghetto. one with $100 in cash, some cancelled credit cards, and my fake ID from my younger days, and my real one, which I'll keep in one of the cargo pants pockets or something).
never been mugged, though. someone did steal my backpack once, though. I was, like, 13 at the time, riding around on the NYC subways with my highschool friends. stupidly, I was standing with my back toward the door, with my pack only hanging on one shoulder. right as the doors were closing, some guy slashed the strap and made off with my backpack. only lost some school books and a walkman.