You find it hard to get to Sugarloaf (Pão de Açucar)??? You could safely go there by taxi and take the tram to the top, with lots of other tourists. Or find a tour. I personally wouldn't do Cordovado (Christ the Redeemer Status) alone, but there are tours that go there, as well. I even went to a soccer game at Maracana, again with a tour (they took us to the stadium by bus and escorted us to the area where our seats were; we met them just outside the stadium after the game).

Walking is a great idea. I'd leave the iPod back at the hotel. The only particularly risky area in the aforementioned walk is where the road goes inland between Copacabana and Arpoador/Ipanema, and I found it risky only at night. I have oflten walked along Avenida Atlantica in Copacabana at night. Lots of people selling stuff. I'm sure there are pickpockets, because there are lots of tourists, but I didn't carry much money, and avoided darkened side streets. Ipanema is even calmer in general, and it's a nice place to walk along the beach, looking at the scenery (human and otherwise), watching volleyball games, etc. but there are far fewer restaurants, etc. along the beach road. Easy enough to grab a beer or coconut at one of the kiosks along the beach.