FWIW, I've travelled extensively in Saudi Arabia, China, Russia and the United States. I find the US easily the scariest of the four, because it's where I have by far the highest likelihood of being shot, both by criminals and by law enforcement.

Anecdote: I once ventured into a post office in central New Orleans (the touristy bit) in the search of some stamps. The post office happened to be located inside a courthouse, with airport-style security to get in. When I started to take off my backpack so I could put it in the X-ray machine, I was greeted with very agitated shouts of "KEEP YOUR HANDS WHERE I CAN SEE THEM SIR!" because -- I realized afterwards -- the armed security thought I was going to shoot up the place.