I have not, but living as I do in the very center of a major metropolitan area, it still remains a possibility.
They vary, though. I lived in New Orleans, as I've often said, when it was the murder capital of the country -- 450 murders one year in a city of 500,000. And they happened anywhere in the city, including wealthy residential neighborhoods. We lived in a fourplex on a major streetcar line / thoroughfare, and a guy got shot on the front steps of the sandwich shop across the street. When we first arrived, I briefly (one week) took a job waiting tables at a restaurant down the street, and a couple of times I got off at like midnight, give or take. I would sprint the whole four blocks home.
Then we moved to NYC for a year. In a city 15 times the size of NOLA, of course, there were many more murders, so at first it seemed dangerous. And, to be fair, we did live near a park on the Upper West Side that people were warned to avoid, it was just four years after the Central Park jogger attack, and walking through any cute little neighborhood playground you would hear crack vials crunching underfoot.
But eventually I realized I was much safer in Manhattan than I would be in NOLA. Most violence in New York seems concentrated in certain parts of the city, and the area around Columbia University isn't really one of them.