When I go on tour, I dun wanna to miss a thing. It is risky though as once nearly get robbed by the locals in outback Quilin village near Southern China!We were in a group of 8 but they were about 20 of them. Luckily I smelt something fishy and I signalled my friends to run across the street to be back to the hotel. 
Nevertheless, been to the street of Wongkok, Hong Kong where the infamous town of Gangsta and to Macau which is among the most dangerous place where you could lose your pants - at the casinos. 
I have had been walking either foolishly or hungrily for adventures to even worse cities i.e. Bronx, NY to Newark. NJ or North Philly, PA all by myself but I got mugged right at my door step at South Philly where it is considered as safe neighbourhood. How ironic!
IMHO, when you go to see the world - you shouldnt avoid the fast and furious location. my 1st trip to USA , I avoided to see Sunset Bolevard, California at night with my firends as we were told by the concierge it was not safe and I came back regretting. EVer since then, I start taking risk to see more places whenevr I go. Otherwise, I couldnt cook the China or Bronx stories to you. 
BTW, you think it is safe at usj or Subangjaya? Tell you what - Wifey and customer get bungled once at the restroom during 7.30pm dinner time ( with 18 customers at that time. ), customer get beaten once by mat rempits at the outside patio, and 99 supermarket next door got robbed with parang in the broad daylights! 
Whatever it is, try the local delicacy in the hawkers stalls while in Macau or Hong Kong as in Wong KoK.
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