Hostels are also usually the cheapest accomodation around. Many hostels act as mini-travel agencies and can book plenty of tours and other accomodations for you, and you often will get discounts just from booking through them. If you're female and you feel uncomfortable, immediately work on getting a single or request a female roommate. However, if the atmosphere seems cool, do try staying in a dorm. You make friends pretty quickly when you're rooming with people.
Singles are often expensive and definitely lonely.
A good bet is to pay for a dorm room with the smallest number of beds if you're on your own. When there are only 4-6 people in a dorm room, you get to know each other and people are generally more respectful of your belongings. It's just not safe. It's a major bummer not to be able to go out on your own at night, but it's just not worth the risk. Your best bet is to try to go out with some friendly roommates or other people from your hostel.