I've never been scared anywhere in Canada, (one of the many things I love about Montreal is how, no matter what the weather or time of day, you can go downtown and there's always people on the streets, you never feel isolated or vulnerable). I've made several trips to the Detroit area and never been scared - hell, I even got lost in downtown Detroit right about midnight and asked that proverbial big black guy for directions on a deserted street, and wasn't scared. Wandered around in downtown Baltimore on my own and wasn't scared, there, that big black guy just asked me if I was all right and told me to look after myself, (he did!)
But the one place that creeped me out was St. Louis. The friend I was there with has lived all over the world - London, Paris, Manhattan, LA - and the only place he practically tripped over a murder was in St. Louis.