The most scared I've ever been when traveling was in a decent hotel on Miami Beach. Not only was the door lock flimsy, but I found I could open the in room safe without knowing the combination. It's not always a third world problem.
I always take my purse, my cellphone and my valuables into the bathroom with me when I shower. I've known women who had items stolen while they were in the shower.
I do not allow hotel employees to call me by name. I don't want other people to be able to do so.