My wife and I have been to Europe three times in the last three years. We do take precautions similar to the ones that Trish Ross talked about. Keep a small amount of money for the day in a throw-away wallet.
Sweaters are good for cool days.
Europeans tend to dress a little nicer and favor darker colors than Americans, so keep this in mind while packing. We were often mistaken for British tourists when we were in Italy. I bought an inexpensive watch with an alarm. The watch doubled as our travel alarm, and I wouldn't have cared if I lost or broke it. I often keep my thumb hooked over my throw-away wallet when I'm in crowded areas such as public transportation or popular tourist sights.