As a general rule, gringos are somewhat untouchable by drug-lord rules. Your chances of being kidnapped, held hostage, etc are a lot smaller than that of an upper class Brazilian. The small fish, such as young pickpockets and out-of-town criminals, take their chances.
Beware on empty streets just as much as at overly crowded events. The new trend in pick pocketing (some new Eastern-European techniques are now arriving in Brazil) is to create a situation in a crowd where your hands are distracted while they go for your pockets.
A good example is the Russian mustard trick, where they put mustard on your head in the subways. While you check to see what the heck is on your head, they go through your pockets.
Another common trick here in Brazil is the “fight breaks out” trick, when right in front of you there is a scuffle in the middle of a crowd. While everyone is being pushed away from the scuffle and while you are holding someone who is being pushed onto you, someone behind you (sometimes a woman) goes through your pockets.
Don’t be a hero: if you are held at gun point, slowly pass over the money and leave it at that.
Get the hell out after any dangerous situation: if you manage to stop a pickpocket in his tracks, get out, as his partners may come after you.
Another very common technique is for the crook to rob you while on a bike. They can snatch your cellular phone, necklace or purse while passing by at high speeds.
If you are passing a shady character on an empty street at night, wave an eager “Hi! I’m over here!” to your imaginary friend who’s a block away. This should throw a monkey wrench in his scheme at the last second.
Don’t trust the cops’ intelligence or integrity: if you get pick-pocketed, say “what the hell” and go on with your tour instead of getting caught up in reporting incidents and other red tape. Not only is that an exercise in futility, but it will eat up your time and mood. Like a friend of mine said after getting $200 pick-pocketed in the north of Brazil, “F*ck it! I consider it a small tourist tax” and went back to drinking. Not the best point of view as a long-term philosophy, but it worked fine for that week.