For women, I would say to be extra careful and safe especially if you are going to a country where you look very different from the local people. My friends here with blond hair and blue eyes get stared at and noticed all the time. Being a foreigner and a woman, you will get a lot of attention so just take note of your surroundings and be aware. You can definitely have fun but you have to be more careful than you would in the States.
Some women students from U.S. campus environments have a hard time adjusting to attitudes they encounter abroad in both public and private interactions between men and women. In some countries, it is not uncommon for women to be honked at, stared at, verbally and loudly appraised, and to be aggressively addressed in other ways. U.S. women are especially likely to get this treatment simply because they may look different. The attention can be flattering, especially when it is still a novelty. However, it may soon become very annoying and frustrating. Local women, who often get the same sort of treatment, have learned to ignore it. They know that eye contact between strangers or a smile at someone passing in the street, which is not uncommon in the U.S., may result in totally unexpected invitations.
You will have to learn the unwritten rules about what you can and cannot do abroad. Women can provide support for each other, and former students suggest that you get together several times early in your stay to talk about how to deal with the unwanted attention. U.S. women are seen as "liberated" in many ways, and sometimes the cultural misunderstandings that come out of this image can lead to difficult and unpleasant experiences.
Many American females are challenged by different notions about gender roles abroad. An interesting article written about this issue was published on Glimpse.org by NYU student Sama Maydani. Ethical Dilemma- Should Women Wear Pants? In it, she wonders whether she should conform to cultural norms in Zambia by wearing skirts, or whether she should promote her own views on gender equality by sticking to jeans.
Be careful about the messages you may be unintentionally communicating. Appropriate behavior for young women varies from country to country and even within countries. Some countries have well-defined gender roles; others restrict certain activities for women. You may find that behavior and dress that are acceptable in major cities are inappropriate in rural areas. Sometimes, though, just the opposite is true; and behavior is more relaxed outside of metropolitan areas.
Observe how local women your age act and dress and try to do likewise. Watch the local women; see how they avoid and turn away unwanted attention, and mimic their behavior. In spite of your efforts, however, you may find that you are harassed. Try not to take offense at whistles and other gestures regardless of whether they are compliments, invitations or insults. Maintain the perspective that these challenging (and sometimes difficult) experiences are part of understanding another culture, which is one of the important reasons you are studying abroad; but if your intuition tells you a situation is dangerous, then act as if it is.Here are some other websites that you might find helpful:
State Department - Tips for Women Traveling Alone
Transitions Abroad portal for women travelers
Journeywoman - A travel resource for women