Stress the potential dangers, but without giving the less confident children the feeling that they will be alone at night in a safari park.
Traffic is a major hazard, especially abroad, where children will automatically look the 'wrong' way when stepping off a pavement, so handcuff all potential loonies to somebody sensible.
Most cities have a long history, much of it overlookable, like the anonymous statue, funny suburb or stret name. So don't dismiss the apparently mundane.
An urban 'treasure trail' goes down well ('What is the date of the building in O', 'Who is the horseman who won the battle of O?'), but empathise with the poor old curators trying to get on with their jobs, only to be interrupted by armies of urchins clutching clipboards.
When abroad get pupils to use their language - order meals, ask directions, visit the post office - but remember the teacher who asked a group of pupils to 'mail something home', only to find that some of them duly posted off their passports.