There will always be those out there who choose to hate and kill on whatever defining characteristic allows them to do what they do. Skin colour, gender, gender appearance, shoes, money, drugs....
There are things that you can do to protect yourself such as go out with friends, avoid the killing zone of 11pm to 3am (mostly around clubs/bars), keep a cell phone with you at all times (especially when you are asleep in your bedroom), have a home alarm system (I had one even in a place I rented), stay to well lit places, be aware of your surroundings (keep your eyes up and active), and (if you are comfortable with it) carry a sidearm. Pepper sprays are junk and the good stuff has been banned in many places. I used to carry OC-10 as a first line of defense since it would keep me out of a grand jury whether I ended up shooting the attacker or not.
If you start getting harassing phone calls, threats, etc be sure to get Caller ID, note any vehicles that appear to be following you, and log whatever details you can. In order to get a restraining order, you will need to show that there is a certain level of stalking going on and that will vary state by state (and country by country). Just remember that ultimately that paper will not protect you, just give you additional legal recourse. Scary info, about 1 in every 20 women will be stalked at some point in their lifetime.
Yes, martial arts can be great but just remember that if you advance so far then it can be used against you in the courtroom. I have seen it before and it will happen again. If you carry, do not get into a fist fight, no matter how good you think you are in the martial arts. Maintaining control and possesion of the sidearm is first and foremost.
YMMV. However, I do urge everyone into researching ways to keep yourself safe. I never expected to deal with a dangerous lunatic in an upscale area but life is full of surprises.